In this paper, the authors review some of the existing methods used to quantify operational risks in the banking and insurance industries.
This paper compares the levels of operational risk disclosure in the banking industries of India and Romania.
This paper discusses the framework within which to study how sample dependence is transferred from the data to the premiums via the density.
The objective of this paper is to analyze cyber risk from an operational risk perspective and to measure cyber risk empirically.
This paper focuses on conceptual and modeling frameworks in an attempt to explore qualitative and quantitative risk management techniques for hierarchical SoS risks, exemplifying the production systems for demonstration.
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.
The aim of this paper is to provide a new operational risk management framework to identify and mitigate the operational risk exposure arising from a new product.
This paper proposes an approach, called the loss distribution approach with segmented dependence (LDA-SD), which can model the different dependencies of HFLI and LFHI losses in the framework of LDA.
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Global perspectives on operational risk management and practice: a survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)
This paper presents survey results which represent comprehensive perspectives on operational risk practice, obtained from practitioners in a wide range of countries and sectors.
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
In this paper, the authors look at B-tests: methods by which it is possible to identify internal fraud among employees and partners of the bank at an early stage.
This paper proposes an alternative framework for setting banks’ operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism.
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.
The aim of this paper is to propose a model that describes the integration of knowledge-based risks (via the processes of knowledge-based risk identification, analysis, evaluation and education) and knowledge-based risk repositories to support risk…
This paper is a historical case study of the GAS scandal and is the first to analyze it from the perspective of operational risk.
In this paper, the authors present an alternative quantification technique, so-called exposure-based operational risk (EBOR) models, which aim to replace historical severity curves by measures of current exposures and use event frequencies based on…
In this paper, the authors present a way to address multivariate distortion risk measures and give some examples of distortion functions and distributions where the final expression has a closed form.
In this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution.
In this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.
Bridging networks, systems and controls frameworks for cybersecurity curriculums and standards development
This paper proposes a risk management framework designed to facilitate the alignment, integration and streamlining of professional practice standards and computer science/cybersecurity educational curriculums by bridging NPNATFs, SNIFs and RMCPFs.
In this paper, the authors study tail dependence by defining the conditions required for all the methods used to perform and to quantify their efficiency and accuracy.
In 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).
In this paper, the authors discuss the hazard generated by OpRisk driven by natural and human-made disasters, and argue the position of the LDA as the most-fitted statistical approach to deal with it.