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SSRN eLibrary Search Results
Journal of Operational Risk
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Incl. Fee Electronic Paper A Structural Model for Estimating Losses Associated with the Mis-selling of Retail Banking Products
Journal of Operational Risk, Vol. 12, No. 1, 2017
Huan Yan and Richard Wood
Lloyds Banking Group and Lloyds Banking Group
Date Posted: February 25, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Standardized Measurement Approach: Is Comparability Attainable?
Journal of Operational Risk, 12(1), 71–110 DOI:10.21314/JOP.2017.194 ,
Patrick J. McConnell
Macquarie University, Applied Finance Centre
Date Posted: February 17, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Operational Risk and the Three Lines of Defence in UK Financial Institutions: Is Three Really the Magic Number?
Journal of Operational Risk, Forthcoming
Kumbirai Mabwe, Patrick J Ring and Robert Webb
University of South Wales, Glasgow Caledonian University and University of Nottingham
Date Posted: February 14, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis
Journal of Operational Risk, 12(1), 23–51 DOI:10.21314/JOP.2017.188 ,
Georges Dionne and Samir Saissi Hassani
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Date Posted: February 11, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A Nonlinear Analysis of Operational Risk Events in Australian Banks
Journal of Operational Risk, Forthcoming
Yifei Li, Neil Allan and John R. Evans
University of Wollongong - Sydney Business School, University of Bristol and University of Wollongong - Sydney Business School
Date Posted: January 27, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Death of One Thousand Flowers or the AMA Reborn?
Journal of Operational Risk, Vol. 11, No. 4, 2016
Jimi Hinchliffe
NJ Risk and Regulatory Consulting Ltd
Date Posted: November 23, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Operational Risk Models and Asymptotic Normality of Maximum Likelihood Estimation
Journal of Operational Risk, Vol. 11, No. 4, 2016
Paul Larsen
Allianz SE
Date Posted: November 23, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal B-Robust Posterior Distributions for Operational Risk
Journal of Operational Risk, Forthcoming
Ivan Luciano Danesi, Fabio Piacenza, Erlis Ruli and Laura Ventura
UniCredit Business Integrated Solutions S.C.p.A., UniCredit S.p.A., University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Date Posted: November 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Benefit of Using Random Matrix Theory to Fit High-Dimensional T-Copulas
Journal of Operational Risk, Forthcoming
Jiali Xu and Loïc Brin
Societe Generale and Societe Generale
Date Posted: November 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Operational Risk and the Solvency II Capital Aggregation Formula: Implications of the Hidden Correlation Assumptions
Journal of Operational Risk, Forthcoming
Arturo Cifuentes and Ventura Charlin
Finance & Economics Division, Columbia University and V. C. Consultants
Date Posted: October 10, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?
Journal of Operational Risk, Vol. 11, No. 3, 2016
Gareth William Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University College London - Department of Statistical Science, Applied Finance and Actuarial Studies, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Comments on the Basel Committee on Banking Supervision Proposal for a New Standardized Approach for Operational Risk
Journal of Operational Risk, Vol. 11, No. 3, 2016
Giulio Mignola, Roberto Ugoccioni and Eric Cope
Intesa SanPaolo Spa, Intesa SanPaolo Spa and Credit Suisse AG
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Assessment of Operational Loss Data and Its Implications for Risk Capital Modeling
Journal of Operational Risk, Vol. 11, No. 3, 2016
Ruben D. Cohen
Independent
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Rapidly Bounding the Exceedance Probabilities of High Aggregate Losses
Journal of Operational Risk, Forthcoming
Isabella Gollini and Jonathan Rougier
University of London - Birkbeck,University of London and University of Bristol - Department of Mathematics
Date Posted: August 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Simulation Comparison of Aggregation Periods for Estimating Correlations within Operational Loss Data
Journal of Operational Risk, Vol. 11, No. 2, 2016
Kevin Panman, L J Haasbroek and W D Pieters
North-West University, North-West University and Standard Bank Group Ltd.
Date Posted: July 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper How to Turn Uncertainties of Operational Risk Capital into Opportunities from a Risk Management Perspective
Journal of Operational Risk, Vol. 11, No. 2, 2016
Philippe P. Meunier and Arjan Bakker
ING Bank - Netherlands Office and ING Bank - Netherlands Office
Date Posted: July 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Random Matrix Theory Applied to Correlations in Operational Risk
Journal of Operational Risk, Vol. 10, No. 4, 2015
François Crénin, David Cressey, Sophie Lavaud, Jiali Xu and Pierre Clauss
Société Générale, Société Générale, Societe Generale, Societe Generale and Société Générale
Date Posted: July 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Modeling Operational Risk Capital: The Inconvenient Truth
Journal of Operational Risk, Vol. 10, No. 4, 2015
Patrick J. McConnell
Macquarie University, Applied Finance Centre
Date Posted: July 02, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Application of the Convolution Operator for Scenario Integration with Loss Data in Operational Risk Modeling
Journal of Operational Risk, Vol. 10, No. 4, 2015
Pavan Aroda, Aziz Guergachi and Huang Huaxiong
Office of the Superintendent of Financial Institutions (OSFI), Ryerson University and York University
Date Posted: July 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Truncated Lognormals As a Power-Law Mimic in Operational Risk
Journal of Operational Risk, Vol. 10, No. 3, 2015
Roberto Torresetti and Claudio Nordio
Banco Popolare and Banco Popolare
Date Posted: July 01, 2016
Working Paper Series

Incl. Fee Electronic Paper Outsourcing Risk: A Separate Operational Risk Category?
Journal of Operational Risk, Vol. 10, No. 3, 2015
Jürgen Bott and Udo Milkau
University of Applied Sciences, Kaiserslautern and DZ Bank AG
Date Posted: July 01, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Mitigating Rogue-Trading Behavior by Means of Appropriate, Effective Operational Risk Management
Journal of Operational Risk, Vol. 10, No. 3, 2015
Sebastian Rick and Gerrit Jan van den Brink
Frankfurt University of Applied Sciences and Standard Life Versicherung
Date Posted: July 01, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Weighted Likelihood Estimator for Operational Risk Data: Improving the Accuracy of Capital Estimates by Robustifying Maximum Likelihood Estimates
Journal of Operational Risk, Vol. 10, No. 3, 2015
Andrea Colombo, Alessandro Lazzarini and Silvia Mongelluzzo
KMPG Global Ltd. - Operational Risk Competence Center, KMPG Global Ltd. - Operational Risk Competence Center and Barclays - Operational Risk Capital Modelling
Date Posted: July 01, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Monitoring IT Operational Risks Across US Capital Markets
Journal of Operational Risk, Vol. 10, No. 2, 2015
Jerry Friedhoff and Mo Mansouri
Broadridge (Main) - Broadridge Financial Solutions (NJ) and Stevens Institute of Technology
Date Posted: July 01, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Approximations of Value-at-Risk As an Extreme Quantile of a Random Sum of Heavy-Tailed Random Variables
Journal of Operational Risk, Vol. 10, No. 2, 2015
Lincoln Hannah and Borek Puza
FIS and Australian National University
Date Posted: July 01, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Bayesian Operational Risk Models
Journal of Operational Risk, Vol. 10, No. 2, 2015
Silvia Figini, Lijun Gao and Paolo Giudici V
University of Pavia, Shandong University of Finance and Economics and University of Pavia - Faculty of Economics
Date Posted: July 01, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Simple, Transparent and Rational Weighting Approach to Combining Different Operational Risk Data Sources
Journal of Operational Risk, Vol. 10, No. 2, 2015
Alexis Renaudin and Matthew Grant
Aon UK Ltd and Aon UK Ltd
Date Posted: July 01, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Combining Scenario and Historical Data in the Loss Distribution Approach: A New Procedure that Incorporates Measures of Agreement between Scenarios and Historical Data
Journal of Operational Risk, Vol. 10, No. 1, 2015
Riaan de Jongh, T de Wet, Helgard Raubenheimer and Johannes Hendrik Venter
North-West University, North-West University, North-West University and North-West University - Center for Business Mathematics
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Improved Goodness-of-Fit Measures
Journal of Operational Risk, Vol. 10, No. 1, 2015
Peter Mitic
Santander Bank
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Assessment of the Efficiency of Operational Risk Management in Taiwan's Banking Industry: An Application of the Stochastic Frontier Approach
Journal of Operational Risk, Vol. 10, No. 1, 2015
Hsiang-Hsi Liu and Mauricio Cortes
National Taipei University and National Taipei University
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Modeling Correlated Frequencies with Application in Operational Risk Management
Journal of Operational Risk, Vol. 10, No. 1, 2015
Andrei L Badescu, Gong Lan, X. Sheldon Lin and Dameng Tang
University of Toronto - Department of Statistics, University of Toronto, Department of Statistical Sciences, University of Toronto and University of Toronto
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Operational Loss with Correlated Frequency and Severity: An Analytical Approach
Journal of Operational Risk, Vol. 11, No. 2, 2016
Daniel Stahl
Branch Banking and Trust Corporate (BB&T)
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Operational Risk: Impact Assessment of the Revised Standardized Approach on Indian Banks
Journal of Operational Risk, Vol. 11, No. 2, 2016
Pankaj Sinha and Sakshi Sharma
University of Delhi - Faculty of Management Studies and University of Delhi
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Evaluating Operational Risk by an Inhomogeneous Counting Process Based on Panjer Recursion
Journal of Operational Risk, Vol. 11, No. 1, 2016
José Alfredo Jiménez Moscoso and Viswanathan Arunachalam
National University of Colombia and National University of Colombia
Date Posted: June 14, 2016
Working Paper Series

Incl. Fee Electronic Paper Bank Fraud and the Macroeconomy
Journal of Operational Risk, Vol. 11, No. 1, 2016
Rob T Stewart
Federal Reserve Bank of Chicago
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Simulation Comparison of Quantile Approximation Techniques for Compound Distributions Popular in Operational Risk
Journal of Operational Risk, Vol. 11, No. 1, 2016
Riaan de Jongh, T de Wet, Kevin Panman and Helgard Raubenheimer
North-West University, North-West University, North-West University and North-West University
Date Posted: June 14, 2016
Working Paper Series

Incl. Fee Electronic Paper A Maximum Entropy Approach to the Loss Data Aggregation Problem
Journal of Operational Risk, Vol. 11, No. 1, 2016
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Universidad Carlos III de Madrid - Department of Business Administration, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Estimating Operational Risk Capital with Greater Accuracy, Precision and Robustness
Journal of Operational Risk, Vol. 9, No. 4, 2014
John Douglas Opdyke
GE Capital
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Checklist-Based Weighted Fuzzy Severity Approach for Calculating Operational Risk Exposure on Foreign Exchange Trades Under the Basel II Regime
Journal of Operational Risk, Vol. 9, No. 4, 2014
V. Sree Hari Rao and K. V. N. M. Ramesh
Institute for Development and Research in Banking Technologies and HCL Technologies Ltd.
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Review of Methods for Combining Internal and External Data
Journal of Operational Risk, Vol. 9, No. 4, 2014
Giuseppe Galloppo and Daniele Previati
Università degli studi della Tuscia and University of Rome III
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Factor Reduction and Clustering for Operational Risk in Software Development
Journal of Operational Risk, Vol. 9, No. 3, 2014
Faizul Azli Mohd-Rahim, Chen Wang, Halim Boussabaine, Hamzah Abdul-Rahman and Lincoln C Wood
University of Malaya (UM) - University of Malaya, Asia Europe Institute (AEI), University of Malaya (UM), University of Liverpool, International University of Malaya-Wales and Graduate School of Management
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Mutual-Information-Based Variance–Covariance Approach: An Application to Operational Risk Aggregation in Chinese Banking
Journal of Operational Risk, Vol. 9, No. 3, 2014
Jianping Li, Xiaoqian Zhu, Yongjia Xie, Jianming Chen, Lijun Gao, Jichuang Feng and Wujiang Shi
Chinese Academy of Sciences (CAS), Chinese Academy of Sciences (CAS), Chinese Academy of Sciences (CAS), Chinese Academy of Sciences (CAS), Shandong University of Finance and Economics, Industrial Bank Co. and GF Fund Management Co.
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Goodness-Of-Fit Tests and Selection Methods for Operational Risk
Journal of Operational Risk, Vol. 9, No. 3, 2014
Sophie Lavaud and Vincent Lehérissé
Crédit Lyonnais - Groupe de Recherche Opérationnelle and Bank of the West – BNP Paribas Group
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fitting Operational Risk Data Using Limited Information Below the Threshold
Journal of Operational Risk, Vol. 9, No. 2, 2014
Christopher M Cormack
MP Capital Advisory Services LLP
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Evidence, Estimates and Extreme Values from Austria
Journal of Operational Risk, Vol. 9, No. 3, 2014
Stefan Kerbl
Oesterreichische Nationalbank (OeNB)
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Specification Test for Threshold Estimation in Extreme Value Theory
Journal of Operational Risk, Vol. 9, No. 2, 2014
Lourenco Couto Miranda
University of Minnesota
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Dissecting the JPMorgan Whale: A Post-Mortem
Journal of Operational Risk, Vol. 9, No. 2, 2014
Patrick J. McConnell
Macquarie University, Applied Finance Centre
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Disentangling Frequency Models
Journal of Operational Risk, Vol. 9, No. 2, 2014
Erika Gomes-Gonçalves and Henryk Gzyl
Universidad Carlos III de Madrid - Department of Business Administration and Instituto de Estudios Superiores de Administración (IESA)
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper LIBOR Manipulation: Operational Risks Resulting from Brokers’ Misbehavior
Journal of Operational Risk, Vol. 9, No. 1, 2014
Patrick J. McConnell
Macquarie University, Applied Finance Centre
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Assimilating Operational Risk in Common Trading Systems
Journal of Operational Risk, Vol. 9, No. 1, 2014
Dror Parnes
University of South Florida
Date Posted: June 09, 2016
Accepted Paper Series


 

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