Articles by Ruben D Cohen
Integrating internal and external loss data via an equivalence principle
The authors put forward a means address data scarcity in operational risk modelling by supplementing internal loss data with external loss data.
Estimating the probability of insurance recovery in operational risk
The authors put forward a novel methodology for the estimation of probability of insurance recovery.
An investigation of cyber loss data and its links to operational risk
This paper investigates cyber loss data and focuses on quantifying the direct financial and compensatory losses emanating from cyber risks.
An operational risk capital model based on the loss distribution approach
In this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution.
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
The issues with the standardized measurement approach and a potential future direction for operational risk capital modeling
This paper discusses the criticism and praise the SMA and AMA have received, respectively, in many recent articles.
An assessment of operational loss data and its implications for risk capital modeling
The author of this paper assesses operational loss data and its implications for risk capital modeling.
Even for me, AMA models are too complicated
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen