10 research outputs found
Endogenous Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis
- Author
- A Chapelle
- A Chernobai
- A Frachot
- B Rigby
- C Carrillo
- C Fernandez
- D J Cummins
- E Cope
- G Dionne
- G Dionne
- Georges Dionne
- H Chen
- H Dahen
- H Dahen
- H S Bhamra
- H S Na
- I Visser
- J B Mcdonald
- J Ne?lehov�
- J Shih
- K K Dutta
- L Allen
- M A Lewis
- M Ames
- M G Cruz
- O Maalaoui Chun
- P F Christoffersen
- P H Kupiec
- R A Jarrow
- R F Engle
- Samir Saissi Hassani
- T Hartung
- V Chavez-Demoulin
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2015
- Field of study
Benchmarking Operational Risk Models
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Tail Risk in Commercial Property Insurance
- Author
- A J Mcneil
- A L Dekkers
- B Hill
- Enrico Biffis
- Erik Chavez
- G Silverberg
- H Wang
- I Gomes
- J Beirlant
- J Beirlant
- J Beirlant
- J Beirlant
- J Buchanan
- J Diebolt
- J Ne?lehov�
- M Degen
- M M Dacorogna
- N Michaelides
- P Artzner
- P Embrechts
- P Hall
- R E Years
- R Huisman
- R Ibragimov
- R Ibragimov
- S Csorgo
- S Desmedt
- Swiss Re
- T Nguyen
- U Riegel
- X Gabaix
- Y Goegebeur
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2014
- Field of study
On the Statistical Properties and Tail Risk of Violent Conflicts
- Author
- A A Balkema
- A A Balkema
- A A Balkema
- A Clauset
- A Horne
- A Scharpf
- B Hayek
- C Kleiber
- C Phillips
- C Robert
- D Berlinski
- E J Gumbel
- J A Friedman
- J E Mueller
- J Gray
- J L Goldstein
- J Ne?lehov�
- J Pickands
- J Van Der Wijk
- J.-A Villasenor-Alva
- K Klein Goldewijk
- L A Cox
- L De Haan
- L F Richardson
- L F Richardson
- L.-E Cederman
- M Falk
- M Spagat
- M White
- M White
- N Inkester
- N N Taleb
- Nassim Nicholas Taleb
- Necrometrics
- P Cirillo
- P Embrechts
- P Wallensteen
- Pasquale Cirillo
- R Epstein
- R Maronna
- R Norton-Taylor
- R Viertl
- S Pinker
- T B Seybolt
- U Einmahl
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2015
- Field of study
Evaluation the AMA and the New Standardized Approach for Operational Risk Capital
- Author
- Acharya
- Anat Admati
- Anat Admati
- Ariane Chapelle
- Daniel Tarullo
- Daniel Tarullo
- Daniel Tarullo
- David Aikman
- David Jones
- Douglas Diamond
- Douglas Elliott
- Eric Cope
- European Banking
- Filippo Curti
- Filippo Curti
- Frank Heid
- Gareth Peters
- Giulio Mignola
- Giulio Mignola
- Jake Lever
- Jamie Dimon
- Jessica Meek
- Jimi Hinchliffe
- Johanna Ne?lehov�
- John Opdyke
- Jon Danielsson
- J�rg Blum
- Marco Migueis
- Marco Migueis
- Mark Ames
- Matthew Plosser
- Mike Mariathasan
- Patrick Mcconnell
- Rafael Repullo
- Samu Peura
- Simon Firestone
- Steve Marlin
- Thomas Hoenig
- Thomas Hoenig
- Thomas Hoenig
- Uday Rajan
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2018
- Field of study
A Clustering Approach and a Rule of Thumb for Risk Aggregation
- Author
- A J Mcneil
- A W Marshall
- B S Everitt
- B S Everitt
- C Bernard
- C Bernard
- C Bernard
- Davide Giammusso
- E C Brechmann
- E Jakobsons
- F Prettenthaler
- F Proschan
- F. Marta L. Di Lascio
- G C Pflug
- G James
- G Mainik
- G Puccetti
- G Puccetti
- G Stahl
- G Stahl
- Giovanni Puccetti
- J Dan�elsson
- J Dhaene
- J Ne?lehov�
- J.-F Mai
- K Aas
- M Ibragimov
- M Moscadelli
- M Scherer
- P Arbenz
- P Arbenz
- P Cirillo
- P Embrechts
- P Embrechts
- P Embrechts
- P Embrechts
- P Embrechts
- P Embrechts
- Q Tang
- R Ibragimov
- R Ibragimov
- R M Cooke
- S Ju
- T Mikosch
- V Bignozzi
- V Chavez-Demoulin
- V Chavez-Demoulin
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2017
- Field of study
Robustness in the Optimization of Risk Measures
- Author
- A Ben-Tal
- A Ben-Tal
- A Ben-Tal
- A G Quaranta
- A J Mcneil
- Alexander Schied
- C A Goodhart
- C Bernard
- G C Pflug
- G Shorack
- H F�llmer
- H F�llmer
- H F�llmer
- H Li
- I Ekeland
- J Armstrong
- J Blanchet
- J Dan�elsson
- J Dan�elsson
- J E Jayne
- J F Bonnans
- J Goh
- J Ne?lehov�
- J Sekine
- K J Arrow
- K J Arrow
- K Natarajan
- L R�schendorf
- M L Weitzman
- M Strathern
- N Dunford
- P Artzner
- P Cheridito
- P Embrechts
- P Embrechts
- P Embrechts
- P Embrechts
- Paul Embrechts
- R Cont
- R Wang
- Ruodu Wang
- S Emmer
- S Kou
- S Kou
- S Zhu
- S Zymler
- T Fissler
- V Kr�tschmer
- V Kr�tschmer
- V V Acharya
- W K Newey
- W Rudin
- W Wiesemann
- X D He
- Z Hu
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2018
- Field of study
Background Risk Models and Stepwise Portfolio Construction
- Author
- A Buch
- A J Mcneil
- A J Mcneil
- A Meucci
- A Sandstr�m
- A Tsanakas
- A V Asimit
- A V Asimit
- Alexandru V. Asimit
- B C Arnold
- B J�rgensen
- B Marasovi�cmarasovi�c
- B Ozdemir
- C J Bennett
- D L Olson
- D Stefanovits
- D V Widder
- Dpm Scollnik
- E Furman
- E Furman
- E Furman
- E Hashorva
- F Cannata
- F Durante
- G Franke
- G Franke
- G Mainik
- G P Patil
- G P Patil
- G P Patil
- H S Sendov
- H S Sendov
- I Tsetlin
- J A Chan-Lau
- J Fraser
- J Ne?lehov�
- J P Louisot
- M Abramowitz
- M Bebbington
- M Busse
- M Cruz
- M Guill�n
- M Merz
- N Sawyer
- P Embrechts
- P Embrechts
- P Jaworski
- P Jaworski
- R Ferrari
- R L Schilling
- R O Michaud
- R Vernic
- Raluca Vernic
- Ricardas Zitikis
- S Segal
- S Yau
- V Asimit
- V Brazauskas
- V Brazauskas
- V Brazauskas
- V Seshadri
- Y You
- Z Bai
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2013
- Field of study
Robust Expected Shortfall Estimation and Inference for Infinite Variance Time Series
- Author
- A J Mcneil
- A Owen
- B Basrak
- B M Hill
- B W Silverman
- C Acerbi
- C Acerbi
- C Gourieroux
- C Morana
- C T Brownlees
- D L Mcleish
- D Tasche
- E Haeusler
- E Rio
- G M Caporale
- G Mainik
- H A David
- H Dehling
- I A Ibragimov
- I Berkes
- J B Hill
- J B Hill
- J B Hill
- J B Hill
- J B Hill
- J B Hill
- J B Hill
- J B Hill
- J B Hill
- J D Fermanian
- J Danielsson
- J Davidson
- J Ne?lehov�
- J Qin
- J Segers
- Jonathan B. Hill
- L De Haan
- L Peng
- L Peng
- M G Hahn
- M Ibragimov
- M J Lighthill
- M Peligrad
- M R Leadbetter
- M R Powers
- O Linton
- O Scaillet
- P C B Phillips
- P Ci� Zek
- P Embrechts
- P F Artzner
- P F Christo�ersen
- P Hall
- P J Brockwell
- R A Davis
- R C Bradley
- R Garcia
- R Ibragimov
- R Ibragimov
- R Ibragimov
- R Ibragimov
- S Chaudhuri
- S Chen
- S Cs�rgo
- S I Resnick
- S Ling
- S Rachev
- T Adrian
- T D Pham
- T Hsing
- T Mikosch
- V V Acharya
- Y Kitamura
- Z Cai
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2012
- Field of study
Understanding Operational Risk Capital Approximations: First and Second Orders
- Author
- A Balkema
- A Blundell-Wignall
- A Chernobai
- A G Bardoutsos
- A H Jessen
- A K Kashyap
- A Mcneil
- A Stam
- B C
- B Tong
- C Hess
- C Kl�ppelberg
- C M Goldie
- D B Cline
- D Daley
- E Omey
- E Pitman
- F Biagini
- G Peters
- G Peters
- G Peters
- G Peters
- G Peters
- G Peters
- Gareth William Peters
- H Albrecher
- H Albrecher
- I Basel
- J Beirlant
- J Danielsson
- J Geluk
- J Geluk
- J L King
- J Li
- J Lu
- J Ne?lehov�
- J.-P Decamps
- K Bocker
- K B�cker
- K B�cker
- K Dutta
- M Cruz
- M Degen
- M Degen
- M Degen
- M G Cruz
- M Moscadelli
- N Bingham
- N Bingham
- P Artzner
- P Barbe
- P Embrechts
- P Embrechts
- P Embrechts
- P Embrechts
- P Gagan
- P Moral
- P Shevchenko
- P Shevchenko
- P Soulier
- Pavel V. Shevchenko
- R Bojanic
- R Bojanic
- R Giacometti
- S Asmussen
- S I Resnick
- T Mikosch
- V A Tarov
- W Feller
- W Matuszewska
- Y Wang
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2013
- Field of study