期刊
JOURNAL OF BANKING & FINANCE
卷 30, 期 10, 页码 2635-2658出版社
ELSEVIER
DOI: 10.1016/j.jbankfin.2005.11.008
关键词
Copula; dependence; Frechet class problems; generalized Pareto distribution; mass transportation; operational risk; peaks over threshold; point process; risk aggregation; statistics of extremes
Due to the new regulatory guidelines known as Basel 11 for banking and Solvency 2 for insurance, the financial industry is looking for qualitative approaches to and quantitative models for operational risk. Whereas a full quantitative approach may never be achieved, in this paper we present some techniques from probability and statistics which no doubt will prove useful in any quantitative modelling environment. The techniques discussed are advanced peaks over threshold modelling, the construction of dependent loss processes and the establishment of bounds for risk measures under partial information, and can be applied to other areas of quantitative risk management. (c) 2006 Elsevier B.V. All rights reserved.
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