Samir Saissi Hassani

HEC Montreal - Department of Finance

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

2

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59

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis

Journal of Operational Risk, Forthcoming
Number of pages: 40 Posted: 20 Jun 2015 Last Revised: 10 Mar 2017
Georges Dionne and Samir Saissi Hassani
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 58 (380,473)

Abstract:

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Hidden Markov Regime, operational risk, 2007-2009 financial crisis, skew t type 4 distribution, banks’ regulatory capital.

2.

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
Georges Dionne and Samir Saissi Hassani
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Downloads 1 (682,426)
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Abstract:

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hidden Markov regime, operational risk, 2007–9 financial crisis, skew-t type-4 distribution, banks’ regulatory capital