Xian Chen is a PhD student in Finance Department in University of Oregon. He got his Master of Science in Quantitative Finance from UZH and ETH. He worked in KPMG as an auditor for financial institutions for two years. His research interests include risk management, corporate governance and empirical corporate finance.
In this paper, the authors apply a dynamic extreme value theory (EVT) model based on a nonhomogeneous Poisson process incorporating covariates to estimate frequency, severity and risk measures for operational risk.