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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 157
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 99
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.

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 2
5.

Toward an Efficient People-Risk Capital Allocation for Financial Firms: Evidence from US Banks

Journal of Operational Risk, Vol. 12, No. 4, 2017
Number of pages: 24 Posted: 06 Jan 2018
Accepted Paper Series
Pablo de Olavide University and Universidad Pablo de Olavide - Department of Business Administration
Downloads 2
6.

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 Independent
Downloads 1
7.

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
8.

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
9.

Bridging Networks, Systems and Controls Frameworks for Cybersecurity Curriculums and Standards Development

Journal of Operational Risk, Vol. 13, No. 1, 2018
Number of pages: 24 Posted: 27 Mar 2018
Accepted Paper Series
Global Risk Management Network, LLC
Downloads 1
10.

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
11.

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
12.

Modeling Catastrophic Operational Risk Using a Compound Neyman–Scott Clustering Model

Journal of Operational Risk, Forthcoming
Number of pages: 25 Posted: 26 Feb 2018
Accepted Paper Series
University of Sousse - MaPReCoB Research Unit and University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ)
Downloads 1
13.

Shapley Allocation, Diversification and Services in Operational Risk

Journal of Operational Risk, Forthcoming
Number of pages: 15 Posted: 02 Mar 2018
Accepted Paper Series
Santander Bank and Université Paris I Panthéon-Sorbonne
Downloads 1
14.

Standardized Measurement Approach Extension to Integrate Insurance Deduction into Operational Risk Capital Requirement

Journal of Operational Risk, Vol. 12, No. 4, 2017
Number of pages: 20 Posted: 29 Nov 2017
Accepted Paper Series
UniCredit S.p.A. and UniCredit S.p.A.
Downloads 1
15.

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
16.

Tail Dependence in Small Samples: From Theory to Practice

Journal of Operational Risk, Vol. 13, No. 1, 2018
Number of pages: 36 Posted: 27 Mar 2018
Accepted Paper Series
Societe Generale
Downloads 1
17.

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.
18.

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
19.

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)
20.

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
21.

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

22.

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.
23.

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
24.

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
25.

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
26.

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
27.

An Operational Risk Capital Model Based on the Loss Distribution Approach

Journal of Operational Risk, Forthcoming
Number of pages: 23 Posted: 25 May 2018
Accepted Paper Series
Independent
28.

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)
29.

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 - Department of Mathematics and Statistics
30.

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
31.

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
32.

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
33.

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
34.

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
35.

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
36.

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
37.

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)
38.

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
39.

Distortion Risk Measures for Nonnegative Multivariate Risks

Journal of Operational Risk, Vol. 13, No. 2, 2018
Number of pages: 24 Posted: 12 Jun 2018
Accepted Paper Series
University of Barcelona, University of Cantabria - Department of Economics, University of Barcelona - Riskcenter-IREA and University of Cantabria - Department of Economics
40.

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
41.

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
42.

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)
43.

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
44.

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
45.

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
46.

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
47.

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
48.

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
49.

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
50.

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