Combining scenario and historical data in the loss distribution approach: a new procedure that incorporates measures of agreement between scenarios and historical data-Reference-Cited by-同舟云学术

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Combining scenario and historical data in the loss distribution approach: a new procedure that incorporates measures of agreement between scenarios and historical data

Published:2015-03 Issue:1 Volume:10 Page:45-76
ISSN:1744-6740
Container-title:The Journal of Operational Risk
language:
Short-container-title:JOP

Author:

de Jongh P. J.,de Wet T.,Raubenheimer H.,Venter J. H.

Publisher

Infopro Digital Services Limited

Subject

Economics and Econometrics,Finance,Business and International Management

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Changes in operational risk and its determinants under Covid-19;Journal of Operational Risk;2022

2. Research Review of Bank Risk Aggregation;Financial Statements-Based Bank Risk Aggregation;2022

3. Construction of Forward-Looking Distributions Using Limited Historical Data and Scenario Assessments;Linear and Non-Linear Financial Econometrics -Theory and Practice;2021-03-17

4. Quantifying and Stress Testing Operational Risk with Peer Banks’ Data;Journal of Financial Services Research;2019-07-31

5. A fuzzy credibility model to estimate the Operational Value at Risk using internal and external data of risk events;Knowledge-Based Systems;2018-11

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