Extremal Events in a Bank Operational Losses

  title={Extremal Events in a Bank Operational Losses},
  author={H. Dahen and G. Dionne and Daniel Zajdenweber},
  journal={Banking & Financial Institutions eJournal},
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 dangers for banks, since their maximal values to signal default are difficult to predict. This risky situation is unlike default risk whose maximum values are limited by the amount of credit granted. For example, our data from a very large US bank show that this bank could suffer, on average, more than… Expand


Scaling Models for the Severity and Frequency of External Operational Loss Data
  • 77
  • PDF
Combining Underreported Internal and External Data for Operational Risk Measurement
  • 13
  • PDF
Loss Distribution Approach in Practice
  • 124
  • PDF
An Algorithmic Approach for the Identification
  • 2004
An Algorithmic Approach for the Identification of Extreme Organizational Losses Threshold
  • 2004
Économie des extrêmes, Flammarion, Paris
  • 2000
Économie des extrêmes, Flammarion, Paris. operational VaR at 99 and 99.9 confidence level for the bank
  • The results are presented in Table A3. Table A3: VaR 99% and VaR
  • 2000
A Simple General Approach to Inference About the Tail of a Distribution
  • 2,756