Davide Di Vincenzo, F. Greselin, Fabio Piacenza, R. Zitikis
{"title":"A text analysis of operational risk loss descriptions","authors":"Davide Di Vincenzo, F. Greselin, Fabio Piacenza, R. Zitikis","doi":"10.21314/jop.2023.003","DOIUrl":"https://doi.org/10.21314/jop.2023.003","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"61 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85632021","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Michail Nerantzidis, George Drogalas, T. Lazarides, Evangelos Chytis, D. Mitskinis
{"title":"Audit committee characteristics and the audit report lag in Greece","authors":"Michail Nerantzidis, George Drogalas, T. Lazarides, Evangelos Chytis, D. Mitskinis","doi":"10.21314/jop.2022.032","DOIUrl":"https://doi.org/10.21314/jop.2022.032","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"4 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79014600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Technology risk management in fintech: underlying mechanisms and challenges","authors":"Xiaohui Chen, Hongwei Zhang, Lei Teng","doi":"10.21314/jop.2022.022","DOIUrl":"https://doi.org/10.21314/jop.2022.022","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"179 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88299342","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Modeling very large losses. II","authors":"H. Gzyl","doi":"10.21314/jop.2022.030","DOIUrl":"https://doi.org/10.21314/jop.2022.030","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"71 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80012416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Iakovos D. Michailidis, Kyriaki Alexandridou, Michail Nerantzidis, George Drogalas
{"title":"Revisiting the linkage between internal audit function characteristics and internal control quality","authors":"Iakovos D. Michailidis, Kyriaki Alexandridou, Michail Nerantzidis, George Drogalas","doi":"10.21314/jop.2021.015","DOIUrl":"https://doi.org/10.21314/jop.2021.015","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Evaluation of backtesting on risk models based on data envelopment analysis","authors":"Grigorios Kontaxis, I. Tsolas","doi":"10.21314/jop.2021.014","DOIUrl":"https://doi.org/10.21314/jop.2021.014","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707163","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We propose a family of copula-based multivariate distributions with g-and- h marginals. After studying the properties of the distribution, we develop a two-step estimation strategy and analyze via simulation the sampling distribution of the estimators. The methodology is used for the analysis of a 7-dimensional dataset containing 40,871 operational losses. The empirical evidence suggests that a distribution based on a single copula is not flexible enough, thus we model the dependence structure by means of vine copulas. We show that the approach based on regular vines improves the fit. Moreover, even though losses corresponding to different event types are found to be dependent, the assumption of perfect positive dependence is not supported by our analysis. As a result, the Value-at-Risk of the total operational loss distribution obtained from the copula- based technique is substantially smaller at high confidence levels, with respect to the one obtained using the common practice of summing the univariate Value-at-Risks.
{"title":"Modeling multivariate operational losses via copula-based distributions with g-and-h marginals","authors":"M. Bee, J. Hambuckers","doi":"10.21314/jop.2021.016","DOIUrl":"https://doi.org/10.21314/jop.2021.016","url":null,"abstract":"We propose a family of copula-based multivariate distributions with g-and- h marginals. After studying the properties of the distribution, we develop a two-step estimation strategy and analyze via simulation the sampling distribution of the estimators. The methodology is used for the analysis of a 7-dimensional dataset containing 40,871 operational losses. The empirical evidence suggests that a distribution based on a single copula is not flexible enough, thus we model the dependence structure by means of vine copulas. We show that the approach based on regular vines improves the fit. Moreover, even though losses corresponding to different event types are found to be dependent, the assumption of perfect positive dependence is not supported by our analysis. As a result, the Value-at-Risk of the total operational loss distribution obtained from the copula- based technique is substantially smaller at high confidence levels, with respect to the one obtained using the common practice of summing the univariate Value-at-Risks.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707235","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Systemic operational risk in the Australian banking system: the Royal Commission","authors":"P. Mcconnell","doi":"10.21314/jop.2022.025","DOIUrl":"https://doi.org/10.21314/jop.2022.025","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"5 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86927455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：