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Journal of Operational Risk

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1.

Modeling Correlated Frequencies with Application in Operational Risk Management

Journal of Operational Risk, Vol. 10, No. 1, p. 1-43, 2015
Number of pages: 44 Posted: 27 Dec 2015
Accepted Paper Series
University of Toronto - Department of Statistics, University of Toronto, Department of Statistical Sciences, University of Toronto and University of Toronto

Multiple version iconThere are 2 versions of this paper

Downloads 132
2.

A Comparison of Alternative Mixing Model for External Data in Operational Risk

Journal of Operational Risk, 2015
Number of pages: 13 Posted: 30 Dec 2014
Accepted Paper Series
Banco Popolare and Banco Popolare
Downloads 89
3.

Operational Risk and the Three Lines of Defence in UK Financial Institutions: Is Three Really the Magic Number?

Journal of Operational Risk, Forthcoming
Number of pages: 18 Posted: 14 Feb 2017
Accepted Paper Series
University of South Wales, Glasgow Caledonian University and University of Nottingham
Downloads 3
4.

A Nonlinear Analysis of Operational Risk Events in Australian Banks

Journal of Operational Risk, Forthcoming
Number of pages: 21 Posted: 27 Jan 2017
Accepted Paper Series
University of Wollongong - Sydney Business School, University of Bristol and University of Wollongong - Sydney Business School
Downloads 1
5.

A Note on the Standard Measurement Approach versus the Loss Distribution Approach–Advanced Measurement Approach: The Dawning of a New Regulation

Journal of Operational Risk, Forthcoming
Number of pages: 19 Posted: 19 Oct 2017
Accepted Paper Series
Universidad de los Andes, Colombia - School of Management
Downloads 1
6.

A Structural Model for Estimating Losses Associated with the Mis-selling of Retail Banking Products

Journal of Operational Risk, Vol. 12, No. 1, 2017
Number of pages: 19 Posted: 25 Feb 2017
Accepted Paper Series
Lloyds Banking Group and Lloyds Banking Group
Downloads 1
7.

Fast, Accurate and Straightforward Extreme Quantiles of Compound Loss Distributions

Journal of Operational Risk, Forthcoming
Number of pages: 30 Posted: 05 Oct 2017
Accepted Paper Series
DataMineit, LLC; GE Capital
Downloads 1
8.

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 ,
Number of pages: 30 Posted: 11 Feb 2017
Accepted Paper Series
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 1
9.

Modeling Operational Risk Capital: The Inconvenient Truth

Journal of Operational Risk, Vol. 10, No. 4, 2015
Number of pages: 40 Posted: 02 Jul 2016
Accepted Paper Series
Macquarie University, Applied Finance Centre
Downloads 1
10.

Standardized Measurement Approach: Is Comparability Attainable?

Journal of Operational Risk, 12(1), 71–110 DOI:10.21314/JOP.2017.194 ,
Number of pages: 40 Posted: 17 Feb 2017
Accepted Paper Series
Macquarie University, Applied Finance Centre
Downloads 1
11.

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
Number of pages: 20 Posted: 09 Jun 2016
Accepted Paper Series
Institute for Development and Research in Banking Technologies and HCL Technologies Ltd.
12.

A Maximum Entropy Approach to the Loss Data Aggregation Problem

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 22 Posted: 14 Jun 2016
Accepted Paper Series
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
13.

A Note on the Statistical Robustness of Risk Measures

Journal of Operational Risk, Forthcoming
Number of pages: 22 Posted: 14 Jun 2017
Accepted Paper Series
Erasmus University Rotterdam (EUR) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
14.

A Review of Methods for Combining Internal and External Data

Journal of Operational Risk, Vol. 9, No. 4, 2014
Number of pages: 22 Posted: 09 Jun 2016
Accepted Paper Series
Università degli studi della Tuscia and University of Rome III
15.

A Simple, Transparent and Rational Weighting Approach to Combining Different Operational Risk Data Sources

Journal of Operational Risk, Vol. 10, No. 2, 2015
Number of pages: 22 Posted: 01 Jul 2016
Accepted Paper Series
Aon UK Ltd and Aon UK Ltd

Multiple version iconThere are 2 versions of this paper

16.

A Simulation Comparison of Aggregation Periods for Estimating Correlations within Operational Loss Data

Journal of Operational Risk, Vol. 11, No. 2, 2016
Number of pages: 18 Posted: 02 Jul 2016
Accepted Paper Series
North-West University, North-West University and Standard Bank Group Ltd.
17.

A Simulation Comparison of Quantile Approximation Techniques for Compound Distributions Popular in Operational Risk

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 26 Posted: 14 Jun 2016
Working Paper Series
North-West University, North-West University, North-West University and North-West University
18.

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
Number of pages: 62 Posted: 01 Jul 2016
Accepted Paper Series
KMPG Global Ltd. - Operational Risk Competence Center, KMPG Global Ltd. - Operational Risk Competence Center and Barclays - Operational Risk Capital Modelling
19.

An Assessment of Operational Loss Data and Its Implications for Risk Capital Modeling

Journal of Operational Risk, Vol. 11, No. 3, 2016
Number of pages: 26 Posted: 15 Sep 2016
Accepted Paper Series
Independent
20.

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
Number of pages: 30 Posted: 30 Jun 2016
Accepted Paper Series
National Taipei University and National Taipei University
21.

An Operational Risk-Based Regime-Switching Model for Stock Prices

Journal of Operational Risk 12(3), 1–15, DOI:10.21314/JOP.2017.193 ,
Number of pages: 15 Posted: 23 Aug 2017
Accepted Paper Series
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
22.

Application of the Convolution Operator for Scenario Integration with Loss Data in Operational Risk Modeling

Journal of Operational Risk, Vol. 10, No. 4, 2015
Number of pages: 22 Posted: 02 Jul 2016
Accepted Paper Series
Office of the Superintendent of Financial Institutions (OSFI), Ryerson University and York University
23.

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
Number of pages: 22 Posted: 01 Jul 2016
Accepted Paper Series
FIS and Australian National University
24.

Assimilating Operational Risk in Common Trading Systems

Journal of Operational Risk, Vol. 9, No. 1, 2014
Number of pages: 18 Posted: 09 Jun 2016
Accepted Paper Series
University of South Florida
25.

Bank Fraud and the Macroeconomy

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 12 Posted: 14 Jun 2016
Accepted Paper Series
Federal Reserve Bank of Chicago
26.

Bayesian Operational Risk Models

Journal of Operational Risk, Vol. 10, No. 2, 2015
Number of pages: 16 Posted: 01 Jul 2016
Accepted Paper Series
University of Pavia, Shandong University of Finance and Economics and University of Pavia - Faculty of Economics
27.

Behavioral Risks at the Systemic Level

Journal of Operational Risk, Vol. 12, No. 3, 2017
Number of pages: 34 Posted: 28 Sep 2017
Accepted Paper Series
Macquarie University, Applied Finance Centre
28.

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
Number of pages: 32 Posted: 30 Jun 2016
Accepted Paper Series
North-West University, North-West University, North-West University and North-West University - Center for Business Mathematics
29.

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
Number of pages: 20 Posted: 15 Sep 2016
Accepted Paper Series
Intesa SanPaolo Spa, Intesa SanPaolo Spa and Credit Suisse AG
30.

Disentangling Frequency Models

Journal of Operational Risk, Vol. 9, No. 2, 2014
Number of pages: 20 Posted: 09 Jun 2016
Accepted Paper Series
Independent and Instituto de Estudios Superiores de Administración (IESA)
31.

Dissecting the JPMorgan Whale: A Post-Mortem

Journal of Operational Risk, Vol. 9, No. 2, 2014
Number of pages: 42 Posted: 09 Jun 2016
Accepted Paper Series
Macquarie University, Applied Finance Centre
32.

Estimating Operational Risk Capital with Greater Accuracy, Precision and Robustness

Journal of Operational Risk, Vol. 9, No. 4, 2014
Number of pages: 78 Posted: 09 Jun 2016
Accepted Paper Series
GE Capital
33.

Evaluating Operational Risk by an Inhomogeneous Counting Process Based on Panjer Recursion

Journal of Operational Risk, Vol. 11, No. 1, 2016
Number of pages: 22 Posted: 14 Jun 2016
Working Paper Series
National University of Colombia and National University of Colombia
34.

Evidence, Estimates and Extreme Values from Austria

Journal of Operational Risk, Vol. 9, No. 3, 2014
Number of pages: 36 Posted: 09 Jun 2016
Accepted Paper Series
Oesterreichische Nationalbank (OeNB)
35.

Factor Reduction and Clustering for Operational Risk in Software Development

Journal of Operational Risk, Vol. 9, No. 3, 2014
Number of pages: 36 Posted: 09 Jun 2016
Accepted Paper Series
University of Malaya (UM) - University of Malaya, Asia Europe Institute (AEI), University of Malaya (UM), University of Liverpool, International University of Malaya-Wales and University of Otago - Department of Management
36.

Fitting Operational Risk Data Using Limited Information Below the Threshold

Journal of Operational Risk, Vol. 9, No. 2, 2014
Number of pages: 18 Posted: 09 Jun 2016
Accepted Paper Series
MP Capital Advisory Services LLP
37.

Goodness-Of-Fit Tests and Selection Methods for Operational Risk

Journal of Operational Risk, Vol. 9, No. 3, 2014
Number of pages: 30 Posted: 09 Jun 2016
Accepted Paper Series
Crédit Lyonnais - Groupe de Recherche Opérationnelle and Bank of the West – BNP Paribas Group
38.

How to Turn Uncertainties of Operational Risk Capital into Opportunities from a Risk Management Perspective

Journal of Operational Risk, Vol. 11, No. 2, 2016
Number of pages: 38 Posted: 02 Jul 2016
Accepted Paper Series
ING Bank - Netherlands Office and ING Bank - Netherlands Office
39.

Improved Goodness-of-Fit Measures

Journal of Operational Risk, Vol. 10, No. 1, 2015
Number of pages: 50 Posted: 30 Jun 2016
Accepted Paper Series
Santander Bank
40.

LIBOR Manipulation: Operational Risks Resulting from Brokers’ Misbehavior

Journal of Operational Risk, Vol. 9, No. 1, 2014
Number of pages: 26 Posted: 09 Jun 2016
Accepted Paper Series
Macquarie University, Applied Finance Centre
41.

Management of Behavioral Risk in the First Line of Defence

Journal of Operational Risk, Vol. 12, No. 3, 2017
Number of pages: 14 Posted: 28 Sep 2017
Accepted Paper Series
University of Applied Sciences, Kaiserslautern and DZ Bank AG
42.

Mitigating Rogue-Trading Behavior by Means of Appropriate, Effective Operational Risk Management

Journal of Operational Risk, Vol. 10, No. 3, 2015
Number of pages: 20 Posted: 01 Jul 2016
Accepted Paper Series
Frankfurt University of Applied Sciences and Standard Life Versicherung
43.

Modeling Correlated Frequencies with Application in Operational Risk Management

Journal of Operational Risk, Vol. 10, No. 1, 2015
Number of pages: 44 Posted: 30 Jun 2016
Accepted Paper Series
University of Toronto - Department of Statistics, University of Toronto, Department of Statistical Sciences, University of Toronto and University of Toronto

Multiple version iconThere are 2 versions of this paper

44.

Monitoring IT Operational Risks Across US Capital Markets

Journal of Operational Risk, Vol. 10, No. 2, 2015
Number of pages: 38 Posted: 01 Jul 2016
Accepted Paper Series
Broadridge (Main) - Broadridge Financial Solutions (NJ) and Stevens Institute of Technology
45.

On a Family of Weighted Cramér–Von Mises Goodness-of-Fit Tests in Operational Risk Modeling

Journal of Operational Risk, Forthcoming
Number of pages: 21 Posted: 09 Jun 2017
Accepted Paper Series
RBC Financial Group, RBC Financial Group and McMaster University
46.

On the Optimal Design of Operational Risk Data Consortiums

Journal of Operational Risk, Vol. 9, No. 1, 2014
Number of pages: 24 Posted: 09 Jun 2016
Accepted Paper Series
Eötvös Loránd University and Erste Bank Hungary Zrt.
47.

Operational Loss with Correlated Frequency and Severity: An Analytical Approach

Journal of Operational Risk, Vol. 11, No. 2, 2016
Number of pages: 18 Posted: 14 Jun 2016
Accepted Paper Series
Branch Banking and Trust Corporate (BB&T)
48.

Operational Risk and the Solvency II Capital Aggregation Formula: Implications of the Hidden Correlation Assumptions

Journal of Operational Risk, Forthcoming
Number of pages: 11 Posted: 10 Oct 2016
Accepted Paper Series
Finance & Economics Division, Columbia University and V. C. Consultants

Multiple version iconThere are 2 versions of this paper

49.

Operational Risk Models and Asymptotic Normality of Maximum Likelihood Estimation

Journal of Operational Risk, Vol. 11, No. 4, 2016
Number of pages: 24 Posted: 23 Nov 2016
Accepted Paper Series
Allianz SE
50.

Operational Risk: Impact Assessment of the Revised Standardized Approach on Indian Banks

Journal of Operational Risk, Vol. 11, No. 2, 2016
Number of pages: 12 Posted: 14 Jun 2016
Accepted Paper Series
University of Delhi - Faculty of Management Studies and University of Delhi