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Journal of Operational Risk最新文献

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Closed-form approximations for operational value-at-risk 营运风险值的封闭近似
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-12-01 DOI: 10.21314/JOP.2013.132
Lorenzo Hernández, Jorge Tejero, A. Suárez, Santiago Carrillo-Menéndez
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引用次数: 11
How much should creditors worry about operational risk? The credit default swap spread reaction to operational risk events 债权人应该在多大程度上担心操作风险?信用违约互换价差对操作风险事件的反应
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-12-01 DOI: 10.21314/JOP.2013.134
Philipp Sturm
{"title":"How much should creditors worry about operational risk? The credit default swap spread reaction to operational risk events","authors":"Philipp Sturm","doi":"10.21314/JOP.2013.134","DOIUrl":"https://doi.org/10.21314/JOP.2013.134","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"46 1","pages":"3-25"},"PeriodicalIF":0.5,"publicationDate":"2013-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75950639","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}
引用次数: 8
A simple model for pseudo-nonstationarity in operational risk loss data due to interest rate dependency and reporting threshold 基于利率依赖和报告阈值的操作风险损失数据伪非平稳性的简单模型
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-12-01 DOI: 10.21314/JOP.2013.129
Gerrit Arlt, Frank Neumann, U. Milkau
{"title":"A simple model for pseudo-nonstationarity in operational risk loss data due to interest rate dependency and reporting threshold","authors":"Gerrit Arlt, Frank Neumann, U. Milkau","doi":"10.21314/JOP.2013.129","DOIUrl":"https://doi.org/10.21314/JOP.2013.129","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"65 1","pages":"27-37"},"PeriodicalIF":0.5,"publicationDate":"2013-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80834749","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}
引用次数: 3
Systemic Operational Risk - The Libor Manipulation Scandal 系统性操作风险——Libor操纵丑闻
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-09-19 DOI: 10.21314/JOP.2013.127
P. Mcconnell
{"title":"Systemic Operational Risk - The Libor Manipulation Scandal","authors":"P. Mcconnell","doi":"10.21314/JOP.2013.127","DOIUrl":"https://doi.org/10.21314/JOP.2013.127","url":null,"abstract":"The manipulation of LIBOR rates was not a localized event. Unscrupulous traders and managers in some of the largest banks around the world deliberately and systematically manipulated borrowing rates. It was not the work of isolated 'rogue traders' but part of business-as-usual in the international money markets. This paper describes the LIBOR Scandal and argues that it is an example of Systemic Operational Risk, in particular People Risk. The paper first describes the LIBOR setting process. The explosive growth over the past 25 years in the use of Interest Rate Swaps (IRS) and the process of resetting rates on IRS, which ultimately led to the unethical manipulation of the underlying LIBOR rates, is then described. The paper then looks at official inquiries into manipulation of LIBOR at three banks: Barclays, UBS and RBS to identify examples of Operational Risk. The transcripts of conversations unearthed by these investigations show rampant illicit activities that were apparently a normal part of doing business, as traders, LIBOR submitters and brokers colluded to manipulate LIBOR for their own interests. Finally, the paper makes some suggestions as to how the management of Systemic Operational Risks may be addressed by banks and regulators.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"15 1","pages":"59-99"},"PeriodicalIF":0.5,"publicationDate":"2013-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78810449","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}
引用次数: 39
Effects of the financial crisis on banking operational losses 金融危机对银行经营损失的影响
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-09-01 DOI: 10.21314/JOP.2013.125
Eric Cope, L. Carrivick
{"title":"Effects of the financial crisis on banking operational losses","authors":"Eric Cope, L. Carrivick","doi":"10.21314/JOP.2013.125","DOIUrl":"https://doi.org/10.21314/JOP.2013.125","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"137 1","pages":"3-29"},"PeriodicalIF":0.5,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89142787","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}
引用次数: 23
A new operational risk assessment technique: the CASTL method 一种新的操作风险评估技术:CASTL法
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-09-01 DOI: 10.21314/JOP.2013.128
L. Štěpánek, R. Urban, R. Urban
{"title":"A new operational risk assessment technique: the CASTL method","authors":"L. Štěpánek, R. Urban, R. Urban","doi":"10.21314/JOP.2013.128","DOIUrl":"https://doi.org/10.21314/JOP.2013.128","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"18 1","pages":"101-117"},"PeriodicalIF":0.5,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82399529","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}
引用次数: 9
Measuring risk with ordinal variables 用有序变量衡量风险
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-06-01 DOI: 10.21314/JOP.2013.122
Silvia Figini, Paolo Giudici
{"title":"Measuring risk with ordinal variables","authors":"Silvia Figini, Paolo Giudici","doi":"10.21314/JOP.2013.122","DOIUrl":"https://doi.org/10.21314/JOP.2013.122","url":null,"abstract":"In this paper we propose a novel approach to measure risks, when the data available are expressed in an ordinal scale. As a result we obtain a new index of risk bounded between 0 and 1, that leads to a risk ordering that is consistent with a stochastic dominance approach. The proposed measure, being non parametric, can be applied to a wide range of problems, where data are ordinal and where a point estimate of risk is needed. We also provide a method to calculate confidence intervals for the proposed risk measure, in a Bayesian non parametric framework. In order to evaluate the actual performance of what we propose, we analyse a database provided by a telecommunication company, with the final aim of measuring operational risks, starting from a self-assessment questionnaire.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"5 1","pages":"35-43"},"PeriodicalIF":0.5,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78336866","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}
引用次数: 9
Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions 利用专家意见估计广义帕累托分布形状参数的几种方法
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-06-01 DOI: 10.21314/JOP.2013.121
Claudio Andreatta, D. Mazza
{"title":"Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions","authors":"Claudio Andreatta, D. Mazza","doi":"10.21314/JOP.2013.121","DOIUrl":"https://doi.org/10.21314/JOP.2013.121","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"104 1","pages":"47-72"},"PeriodicalIF":0.5,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86591054","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}
引用次数: 3
Measuring the operational risk of Chinese commercial banks using the semilinear credibility model 基于半线性可信度模型的中国商业银行操作风险测度
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-06-01 DOI: 10.21314/JOP.2013.123
Jingkun Lu, Lei Guo, Xing Liu
{"title":"Measuring the operational risk of Chinese commercial banks using the semilinear credibility model","authors":"Jingkun Lu, Lei Guo, Xing Liu","doi":"10.21314/JOP.2013.123","DOIUrl":"https://doi.org/10.21314/JOP.2013.123","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"9 1","pages":"3-34"},"PeriodicalIF":0.5,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79821023","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}
引用次数: 6
A comparison of numerical approaches to determine the severity of losses 确定损失严重程度的数值方法的比较
IF 0.5 4区 经济学
Journal of Operational Risk Pub Date : 2013-03-01 DOI: 10.21314/JOP.2013.117
H. Gzyl, P. Novi-Inverardi, A. Tagliani
{"title":"A comparison of numerical approaches to determine the severity of losses","authors":"H. Gzyl, P. Novi-Inverardi, A. Tagliani","doi":"10.21314/JOP.2013.117","DOIUrl":"https://doi.org/10.21314/JOP.2013.117","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"72 1","pages":"3-15"},"PeriodicalIF":0.5,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86616002","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}
引用次数: 9
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