Quantitative models for operational risk: Extremes, dependence and aggregation

[1]  P. Embrechts,et al.  High Risk Scenarios and Extremes , 2007 .

[2]  Christine M. Anderson-Cook,et al.  Book review: quantitative risk management: concepts, techniques and tools, revised edition, by A.F. McNeil, R. Frey and P. Embrechts. Princeton University Press, 2015, ISBN 978-0-691-16627-8, xix + 700 pp. , 2017, Extremes.

[3]  Paul Embrechts,et al.  Aggregating risk capital, with an application to operational risk , 2006 .

[4]  P. Tankov,et al.  Characterization of dependence of multidimensional Lévy processes using Lévy copulas , 2006 .

[5]  Paul Embrechts,et al.  Bounds for Functions of Dependent Risks , 2006, Finance Stochastics.

[6]  Nicole Bäuerle,et al.  Multivariate Counting Processes: Copulas and Beyond , 2005, ASTIN Bulletin.

[7]  Paul Embrechts,et al.  Worst VaR scenarios , 2005 .

[8]  Michel Denuit,et al.  Constraints on concordance measures in bivariate discrete data , 2005 .

[9]  A. Davison,et al.  Generalized additive modelling of sample extremes , 2005 .

[10]  Fat-tailed and Skewed Asset Return Distributions Fat-tailed and Skewed Asset Return Distributions Organization of the Book Fat-tailed and Skewed Asset Return Distributions , 2005 .

[11]  Thierry Roncalli,et al.  The Correlation Problem in Operational Risk , 2007 .

[12]  Dietmar Pfeifer,et al.  Modeling and Generating Dependent Risk Processes for IRM and DFA , 2004, ASTIN Bulletin.

[13]  J. Teugels,et al.  Statistics of Extremes , 2004 .

[14]  Marco Moscadelli,et al.  The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee , 2004 .

[15]  Marcelo Cruz,et al.  Operational Risk Modelling and Analysis: Theory and Practice , 2004 .

[16]  Paul Embrechts,et al.  Smooth Extremal Models in Finance and Insurance , 2004 .

[17]  T. Bielecki,et al.  Credit Risk: Modeling, Valuation And Hedging , 2004 .

[18]  Carlos Bernadell,et al.  Risk management for central bank foreign reserves , 2004 .

[19]  E. Luciano,et al.  Copula methods in finance , 2004 .

[20]  Richard L. Hudson,et al.  THE (MIS)BEHAVIOR OF MARKETS , 2004 .

[21]  O. Barndorff-Nielsen,et al.  Some aspects of Levy copulas , 2004 .

[22]  R. Cont,et al.  Financial Modelling with Jump Processes , 2003 .

[23]  A. McNeil,et al.  Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling , 2003, ASTIN Bulletin.

[24]  Mario R. Melchiori Which Archimedean Copula is the Right One? , 2003 .

[25]  R. Smith Statistics of Extremes, with Applications in Environment, Insurance, and Finance , 2003 .

[26]  Thorsten Rheinländer Risk Management: Value at Risk and Beyond , 2003 .

[27]  Eric S. Rosengren,et al.  Using Loss Data to Quantify Operational Risk , 2003 .

[28]  Paul Embrechts,et al.  Using copulae to bound the Value-at-Risk for functions of dependent risks , 2003, Finance Stochastics.

[29]  D. Vere-Jones,et al.  Elementary theory and methods , 2003 .

[30]  COPULA : A NEW VISION FOR ECONOMIC CAPITAL AND APPLICATION TO A FOUR LINE OF BUSINESS COMPANY ASTIN Topic 3 : Risk control , 2003 .

[31]  Paul Embrechts,et al.  QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK , 2003 .

[32]  Gennady Samorodnitsky,et al.  Ruin theory revisited: stochastic models for operational risk , 2002 .

[33]  Eric P. Smith,et al.  An Introduction to Statistical Modeling of Extreme Values , 2002, Technometrics.

[34]  Paolo Vanini,et al.  Operational Risk: A Practitioner's View , 2002 .

[35]  K. Campbell Statistical Analysis of Extreme Values , 2002, Technometrics.

[36]  J. Corcoran Modelling Extremal Events for Insurance and Finance , 2002 .

[37]  Marcelo Cruz Modeling, Measuring and Hedging Operational Risk , 2002 .

[38]  P. Embrechts,et al.  Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls , 2002 .

[39]  Diane Reynolds,et al.  Dependent Events and Operational Risk , 2002 .

[40]  Alexander J. McNeil,et al.  Modelling Operational Risk , 2001 .

[41]  J. L. King,et al.  Operational Risk: Measurement and Modelling , 2001 .

[42]  Søren Asmussen,et al.  Ruin probabilities , 2001, Advanced series on statistical science and applied probability.

[43]  B. Mirzai Operational risk quantification and insurance , 2001 .

[44]  Economic Risk Capital and Reinsurance: an Extreme Value Theory’s Application to Fire Claims of an Insurance Company∗ , 2001 .

[45]  Manfred Gilli,et al.  Extreme Value Theory for Tail-Related Risk Measures , 2000 .

[46]  Paul Embrechts,et al.  Extremes and Integrated Risk Management , 2000 .

[47]  L. Haan,et al.  Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation , 2000 .

[48]  Younes Bensalah,et al.  Steps in Applying Extreme Value Theory to Finance: A Review , 2000 .

[49]  Philippe Artzner,et al.  Coherent Measures of Risk , 1999 .

[50]  S. Resnick,et al.  Extreme Value Theory as a Risk Management Tool , 1999 .

[51]  A. McNeil Extreme Value Theory for Risk Managers , 1999 .

[52]  Daryl J. Daley,et al.  An Introduction to the Theory of Point Processes , 2013 .

[53]  Satishs Iyengar,et al.  Multivariate Models and Dependence Concepts , 1998 .

[54]  F. Diebold,et al.  Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management , 1998 .

[55]  S. Rachev,et al.  Mass transportation problems , 1998 .

[56]  A. McNeil,et al.  The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions , 1998 .

[57]  A. McNeil Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory , 1997, ASTIN Bulletin.

[58]  Benoit B. Mandelbrot,et al.  Fractals and Scaling in Finance , 1997 .

[59]  J. Hüsler,et al.  Laws of Small Numbers: Extremes and Rare Events , 1994 .

[60]  B. Silverman,et al.  Nonparametric Regression and Generalized Linear Models: A roughness penalty approach , 1993 .

[61]  Rolf-Dieter Reiss,et al.  A Course on Point Processes , 1992 .

[62]  Malcolm R Leadbetter,et al.  On a basis for 'Peaks over Threshold' modeling , 1991 .

[63]  S. Resnick Extreme Values, Regular Variation, and Point Processes , 1987 .

[64]  R. Nelsen Discrete bivariate distributions with given marginals and correlation , 1987 .

[65]  Robert C. Griffiths,et al.  ASPECTS OF CORRELATION IN BIVARIATE POISSON DISTRIBUTIONS AND PROCESSES , 1979 .

[66]  R. Cowan An introduction to the theory of point processes , 1978 .