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Scaling Models for the Severity and Frequency of External Operational Loss Data
This paper investigates how the severity and frequencies of external losses are scaled for integration with internal data. Expand
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What about Underevaluating Operational Value at Risk in the Banking Sector?
The objective of this article is to develop a precise and rigorous measurement of a bank's operational VaR. We compare our model to the standard model frequently used in practice. This standard modelExpand
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Book Review of Risk Management
Risk Management offers comprehensive coverage of the design and operation of a risk management system: its technical modeling and its interplay with the external regulations by which such a system isExpand
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Book Review of Management
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Extremal Events in a Bank Operational Losses
Extremal Events in a Bank Operational Losses Hela Dahen1, Georges Dionne1, Daniel Zajdenweber2 18 February 2010 1 HEC Montreal 2 Universite Paris X-Nanterre Abstract Operational losses are trueExpand