Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Modeling and measuring operational risk
Marcelo Cruz, Rodney Coleman, and Gerry Salkin
Abstract
ABSTRACT
Recent operational risk events such as occurred at Barings, Daiwa, Sumitomo, and other institutions show the importance of measuring and controlling such operational risk. In this paper the authors present a quantitative operational risk measurement model based on extreme value theory.
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