Search Results
Journal of Operational Risk

313 Total downloads | Link to this page

Viewing: 1 - 50 of 84 papers

1.

Maximum Likelihood Estimation Error and Operational Value-at-Risk Stability

Journal of Operational Risk, Vol. 14, No. 1, 2019
Number of pages: 24 Posted: 08 Apr 2019
Accepted Paper Series
Allianz SE
Downloads 1
2.

Introducing a Novel System-Of-Systems Axiomatic Risk Management Technique for Production Systems

Journal of Operational Risk, Vol. 14, No. 1, 2019
Number of pages: 24 Posted: 05 Apr 2019
Accepted Paper Series
University of Engineering and Technology
Downloads 1
3.

An Alternative Approach for the Operational Risk Assessment of a New Product

Journal of Operational Risk, Forthcoming
Number of pages: 27 Posted: 06 Mar 2019
Accepted Paper Series
Cassa Depositi e Prestiti S.p.A., Cassa Depositi e Prestiti S.p.A., Rome Tre University - Department of Business Studies and Faculty of Economics - Sapienza University of Rome
Downloads 1
4.

Operational Risk Measurement: A Loss Distribution Approach with Segmented Dependence

Journal of Operational Risk, Forthcoming
Number of pages: 20 Posted: 12 Feb 2019
Accepted Paper Series
Chinese Academy of Sciences (CAS), Chinese Academy of Sciences (CAS) and Chinese Academy of Sciences (CAS)
Downloads 1
5.

A Review of the State of the Art in Quantifying Operational Risk

Journal of Operational Risk, Vol. 13, No. 4, 2018
Number of pages: 42 Posted: 10 Dec 2018
Accepted Paper Series
Universidad Nacional de Educacion a Distancia (UNED) - Faculty of Economics and Business Administration and Universidad Nacional de Educacion a Distancia (UNED) - Faculty of Economics and Business Administration
6.

Global Perspectives on Operational Risk Management and Practice: A Survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)

Journal of Operational Risk, Vol. 13, No. 4, 2018
Number of pages: 42 Posted: 10 Dec 2018
Accepted Paper Series
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, The Institute of Operational Risk, The Institute of Operational Risk and The Institute of Operational Risk
7.

Predictive Fraud Analytics: B-Tests

Journal of Operational Risk, Forthcoming
Number of pages: 29 Posted: 18 Oct 2018
Accepted Paper Series
Independent and Independent
8.

Modeling Operational Risk Depending on Covariates: An Empirical Investigation

Journal of Operational Risk, Vol. 13, No. 3, 2018
Number of pages: 30 Posted: 19 Sep 2018
Accepted Paper Series
Swiss Federal Institute of Technology Zurich, ETH Zurich - Department of Management, Technology and Economics and University of Oregon
9.

Forward-Looking and Incentive-Compatible Operational Risk Capital Framework

Journal of Operational Risk, Vol. 13, No. 3, 2018
Number of pages: 16 Posted: 18 Sep 2018
Accepted Paper Series
Federal Reserve Board

Multiple version iconThere are 4 versions of this paper

10.

Risk Monitoring Through Better Knowledge-Based Risk Processes

Journal of Operational Risk, Forthcoming
Number of pages: 25 Posted: 31 Aug 2018
Accepted Paper Series
King Fahd University of Petroleum & Minerals (KFUPM), Higher Colleges of Technology, Amman Arab University and Yarmouk University - World Islamic Science and Education University
11.

Operational Risk: A Forgotten Case Study

Journal of Operational Risk, Forthcoming
Number of pages: 30 Posted: 10 Aug 2018
Accepted Paper Series
Macquarie University
12.

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
13.

Operational Risk Measurement Beyond the Loss Distribution Approach: An Exposure-Based Methodology

Journal of Operational Risk, Vol. 13, No. 2, 2018
Number of pages: 34 Posted: 12 Jun 2018
Accepted Paper Series
Deutsche Bank AG, Deutsche Bank AG and Deutsche Bank AG - Risk Management
14.

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
Downloads 2
15.

Modeling Very Large Losses

Journal of Operational Risk, Forthcoming
Number of pages: 9 Posted: 08 May 2018
Accepted Paper Series
Instituto de Estudios Superiores de Administración (IESA)
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.

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 2
18.

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
19.

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
20.

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
21.

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 2
22.

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
23.

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; Allstate
Downloads 1
24.

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
25.

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
26.

The Issues with the Standardized Measurement Approach and a Potential Future Direction for Operational Risk Capital Modeling

Journal of Operational Risk, 12(3), 1–12 DOI:10.21314/JOP.2017.203 ,
Number of pages: 12 Posted: 30 Aug 2017
Accepted Paper Series
Independent
27.

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)
28.

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)
29.

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
30.

Various Approximations of the Total Aggregate Loss Quantile Function with Application to Operational Risk

Journal of Operational Risk, Forthcoming
Number of pages: 24 Posted: 05 Jun 2017
Accepted Paper Series
TD Bank and TD Bank

Multiple version iconThere are 2 versions of this paper

31.

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
32.

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
33.

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
34.

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
35.

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
36.

The Death of One Thousand Flowers or the AMA Reborn?

Journal of Operational Risk, Vol. 11, No. 4, 2016
Number of pages: 14 Posted: 23 Nov 2016
Accepted Paper Series
NJ Risk and Regulatory Consulting Ltd
37.

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
38.

Optimal B-Robust Posterior Distributions for Operational Risk

Journal of Operational Risk, Forthcoming
Number of pages: 20 Posted: 14 Nov 2016
Accepted Paper Series
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
39.

The Benefit of Using Random Matrix Theory to Fit High-Dimensional T-Copulas

Journal of Operational Risk, Forthcoming
Number of pages: 21 Posted: 02 Nov 2016
Accepted Paper Series
Societe Generale and Société Générale
40.

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

41.

Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?

Journal of Operational Risk, Vol. 11, No. 3, 2016
Number of pages: 50 Posted: 15 Sep 2016
Accepted Paper Series
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science

Multiple version iconThere are 2 versions of this paper

42.

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
43.

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
Downloads 1
44.

Rapidly Bounding the Exceedance Probabilities of High Aggregate Losses

Journal of Operational Risk, Forthcoming
Number of pages: 20 Posted: 13 Aug 2016
Accepted Paper Series
University of London - Birkbeck College and University of Bristol - Department of Mathematics
45.

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.
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.

Random Matrix Theory Applied to Correlations in Operational Risk

Journal of Operational Risk, Vol. 10, No. 4, 2015
Number of pages: 28 Posted: 02 Jul 2016
Accepted Paper Series
Société Générale, Société Générale, Societe Generale, Societe Generale and Société Générale
48.

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
49.

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
50.

Truncated Lognormals As a Power-Law Mimic in Operational Risk

Journal of Operational Risk, Vol. 10, No. 3, 2015
Number of pages: 22 Posted: 01 Jul 2016
Working Paper Series
Banco Popolare and Banco Popolare