Modeling and measuring operational risk

Marcelo Cruz, Rodney Coleman and and Gerry Salkin

Journal of Risk

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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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ4:2161112

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