Normal distribution

Investing

The stETH slide and what it means for crypto liquidity

Q&A: Automated market-making may have contributed to depegging, says a crypto fund manager

17 Jun 2022

Original research

A simple and robust approach for expected shortfall estimation

05 Jul 2021

Risk management

Study suggests banks may be better off with simpler VAR models

05 Aug 2020

Original research

Tail-risk mitigation with managed volatility strategies

16 Apr 2019

Original research

Maximum likelihood estimation error and operational value-at-risk stability

The aim of this paper is to systematically investigate the stability of operational value-at-risk (OpVaR) models when fitting heavy-tailed distributions to the relatively small sample sizes found in operational loss data.

27 Mar 2019

Data

Actionable data breach insights from op risk modelling

Thomas Lee, chief executive at VivoSecurity, and Martin Liljeblad, operational risk manager at MUFG Americas, examine how a data breach cost model can replace an advanced measurement approach in a structured scenario

04 Jun 2018

Original research

The use of the triangular approximation for some complicated risk measurement calculations

The author introduces the triangular approximation to the normal distribution in order to extract closed- and semi-closed-form solutions that are useful in risk measurement calculations.

07 Sep 2017

Original research

Stochastic modeling of photovoltaic power generation and electricity prices

This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.