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Homeen-gbCorrelations in operational risk stress testing: use and abuseThe paper presents an analysis of correlation effects of economic factors on the operational risk losses of a medium-large UK retail bank, and it recommends that causal factors that effect operational risk should be identified.
https://www.risk.net/journal-of-operational-risk/7950136/correlations-in-operational-risk-stress-testing-use-and-abuse
https://www.risk.net/journal-of-operational-risk/7950136/correlations-in-operational-risk-stress-testing-use-and-abuse
Thu, 09 Jun 2022 13:56:07 +0100 Incremental value-at-riskThis paper proposes a novel method for estimating future operational risk capital: incremental value-at-risk (IVaR)
https://www.risk.net/journal-of-risk-model-validation/7472201/incremental-value-at-risk
https://www.risk.net/journal-of-risk-model-validation/7472201/incremental-value-at-risk
Tue, 24 Mar 2020 08:58:01 +0000 Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte CarloThe authors propose a model for conduct risk losses, in which conduct risk losses are characterized by having a small number of extremely large losses (perhaps only one) with more numerous smaller losses.
https://www.risk.net/journal-of-operational-risk/7241936/estimation-of-value-at-risk-for-conduct-risk-losses-using-pseudo-marginal-markov-chain-monte-carlo
https://www.risk.net/journal-of-operational-risk/7241936/estimation-of-value-at-risk-for-conduct-risk-losses-using-pseudo-marginal-markov-chain-monte-carlo
Sun, 08 Dec 2019 14:36:28 +0000 A central limit theorem formulation for empirical bootstrap value-at-riskIn this paper, the importance of the empirical bootstrap (EB) in assessing minimal operational risk capital is discussed, and an alternative way of estimating minimal operational risk capital using a central limit theorem (CLT) formulation is presented.
https://www.risk.net/journal-of-risk-model-validation/5462066/a-central-limit-theorem-formulation-for-empirical-bootstrap-value-at-risk
https://www.risk.net/journal-of-risk-model-validation/5462066/a-central-limit-theorem-formulation-for-empirical-bootstrap-value-at-risk
Mon, 26 Mar 2018 14:50:39 +0100 Shapley allocation, diversification and services in operational riskIn this paper, the authors propose a method of allocating operational risk regulatory capital using a closed-form Shapley method, applicable to a large number of business units (BUs).
https://www.risk.net/journal-of-operational-risk/5438696/shapley-allocation-diversification-and-services-in-operational-risk
https://www.risk.net/journal-of-operational-risk/5438696/shapley-allocation-diversification-and-services-in-operational-risk
Thu, 01 Mar 2018 13:24:19 +0000 Reputation risk contagionThe aim of this paper is to assess the effects of the reputation of the members of a group on any single member of the group using the concepts of social influence and convergence in belief.
https://www.risk.net/journal-of-network-theory-in-finance/3916926/reputation-risk-contagion
https://www.risk.net/journal-of-network-theory-in-finance/3916926/reputation-risk-contagion
Wed, 22 Feb 2017 14:29:21 +0000 The problems with conduct risk loss aggregationAggregating conduct risk losses is recommended practice, but risk modellers should be careful – it may seriously distort their capital calculations https://www.risk.net/risk-management/3848486/the-problems-with-conduct-risk-loss-aggregation
https://www.risk.net/risk-management/3848486/the-problems-with-conduct-risk-loss-aggregationThu, 02 Feb 2017 16:56:07 +0000