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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
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 model… Expand
A practical application of extreme value theory to operational risk in banks
Scaling Models for the Severity and Frequency of External Operatinal Data Losses
La Quantification du Risque Opérationnel des Institutions Bancaires
- H. Dahen
- Computer Science
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 is… Expand
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 true… Expand