Quantitative models for operational risk:: Extremes, dependence and aggregation

被引：127

作者：

Chavez-Demoulin, V. ^{[1
]}

Embrechts, P. ^{[1
]}

Neslehova, J. ^{[1
]}

机构：

[1] ETH, Dept Math, RiskLab, CH-8092 Zurich, Switzerland

来源：

JOURNAL OF BANKING & FINANCE | 2006年 / 30卷 / 10期

关键词：

Copula; dependence; Frechet class problems; generalized Pareto distribution; mass transportation; operational risk; peaks over threshold; point process; risk aggregation; statistics of extremes;

D O I：

10.1016/j.jbankfin.2005.11.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Due to the new regulatory guidelines known as Basel 11 for banking and Solvency 2 for insurance, the financial industry is looking for qualitative approaches to and quantitative models for operational risk. Whereas a full quantitative approach may never be achieved, in this paper we present some techniques from probability and statistics which no doubt will prove useful in any quantitative modelling environment. The techniques discussed are advanced peaks over threshold modelling, the construction of dependent loss processes and the establishment of bounds for risk measures under partial information, and can be applied to other areas of quantitative risk management. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：2635 / 2658

页数：24