Using External Data in Operational Risk

Keywords

Operational risk, Business, Risk analysis (engineering), Computer science, Operations management

References

• Local polynomial modelling and its applicationsJ. Fan, I. Gijbels — 1994
• Mixing Internal and External Data for Managing Operational RiskAntoine Frachot, Thierry Roncalli — 2002
• Internal Data, External Data and Consortium Data - How to Mix Them for Measuring Operational RiskNicolas Baud, Antoine Frachot, Thierry Roncalli — 2002
• A simple bias reduction method for density estimationM. C. Jones, Oliver B. Linton, Jens Perch Nielsen — 1995
• Quantifying Operational Risk in General Insurance Companies. Developed by a Giro Working PartyMichael Howard Tripp, H. L. Bradley, Russell Devitt — 2004
• The theory of income distributionMartin Bronfenbrenner, Harry G. Johnson — 1974
• Nonparametric Density Estimation with a Parametric StartNils Lid Hjort, Ingrid K. Glad — 1995
• Kernel density estimation for heavy-tailed distributions using the champernowne transformationTine Buch-Kromann, Jens Perch Nielsen, Montserrat Guillén — 2005
• A Practical Guide to SplinesCarl de Boor — 1978
• QUANTIFYING OPERATIONAL RISKCharles W. Smithson — 2000
• Quantifying Operational Risk Guided by Kernel Smoothing and Continuous Credibility: A Practitioners ViewJim Gustafsson, Jens Perch Nielsen, Paul Pritchard — 2006
• THE GRADUATION OF INCOME DISTRIBUTIONSP. R. Fisk — 1961
• Quantifying operational risk guided by kernel smoothing and continuous credibility: A practitioner's viewDawn Hunter — 2006
• Quantifying operational risk guided by kernel smoothing and continuous credibility: A practitioner's viewJim Gustafsson, Jens Perch Nielsen, Paul Pritchard — 2006
• Internal data , external data and consortium data for operational risk measurement : How to pool data properly ?A. Frachot, T. Roncalli — 2002
• The Theory of Income DistributionM. A. G. van Meerhaeghe — 1986

Cited by

• El capital económico por riesgo operacional: una aplicación del modelo de distribución de pérdidasEnrique José Jiménez Rodríguez, José Manuel Feria Domínguez, José Luis Martín Marín — 2009
• A Loss Distribution for Operational Risk Derived from Pooled Bank LossesManMohan S. Sodhi, W. S. Holland — 2009
• Nonparametric Estimation of Value-at-RiskRamón Alemany, Catalina Bolancé, Montserrat Guillén — 2012
• The CEECs’ Banking System: A Risk Study during the Global Financial CrisisBernadette Andréosso-O’Callaghan, Lucía Morales, Valentina Tarkovska — 2009
• Issues in Operational Risk Capital ModelingMo Chaudhury — 2009
• Multivariate Density Estimation Using Dimension Reducing Information and Tail Flattening TransformationsTine Buch-Kromann, Montserrat Guillén, Oliver B. Linton — 2011
• Non-parametric estimation of operational risk losses adjusted for under-reportingMartin Englund, Jim Gustafsson, Tine Buch-Kromann — 2007
• Operational risk management: practical implications for the South African insurance industryMichael Martin, Michael Y. Hayes — 2013
• Operational Losses for the Capital Charge of Health Insurers: Lessons from SpainRafael Hernández Barros, María Isabel Martínez Torre-Enciso — 2012
• Enterprise Risk Management Through Strategic Allocation of CapitalJing Ai, Patrick L. Brockett, W. W. Cooper — 2012
• A framework to manage the measurable, immeasurable and the unidentifiable financial riskJohn R. Evans, Amandha Ganegoda — 2014
• Combining Underreported Internal and External Data for Operational Risk MeasurementMontserrat Guillén, Jim Gustafsson, Jens Perch Nielsen — 2008
• A Mixing Model for Operational RiskJim Gustafsson, Jens Perch Nielsen — 2008
• Multivariate density estimation using dimension reducing information and tail flattening transformations for truncated or censored dataTine Buch-Kromann, Jens Perch Nielsen — 2010
• Cuestiones básicas para la cuantificación del riesgo operacional de las entidades aseguradorasMaría Isabel Martínez Torre-Enciso, Rafael Hernández Barros — 2012
• A Review of the Key Issues in Operational Risk Capital ModelingMo Chaudhury — 2010
• Nonparametric approach to analysing operational risk lossesCatalina Bolanc, Mercedes Ayuso, Montserrat Guill — 2011
• A Suitable Parametric Model For Operational Risk ApplicationsFredrik Thuring, Jim Gustafsson — 2008
• A Mixing Severity Model Incorporating Three Sources of Data for Operational Risk QuantificationJim Gustafsson — 2008
• Risk Mapping Framework: Interplay between Complexity, Events, Probability and Outcomes as Determinants of Risk LevelGhulam Abid, Binish Khan, Alia Ahmed — 2015

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