Kevin Panman

North-West University

Private Bag X6001

Faculty of Economic and Management Sciences

Potchefstroom, Northwest 2520

South Africa

SCHOLARLY PAPERS

2

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0

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

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
Kevin Panman, L Haasbroek and W Pieters
North-West University, North-West University and Standard Bank Group Ltd.
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Abstract:

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correlation estimation, loss aggregation period, time series data, operational risk, capital calculation

2.

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
North-West University, North-West University, North-West University and North-West University
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Abstract:

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compound distribution, quantile approximation, loss distribution approach (LDA), operational risk, single-loss approximation, perturbative approximation