Operational Risk Modelling

Operational Risk Modelling

Operational Risk Modelling

Books:

  • M. G. Cruz, G.W. Peters and P.V. Shevchenko (2015). Fundamental Aspects of Operational Risk and Insurance Analytics: a Handbook of Operational Risk, Wiley.
  • G.W. Peters and P.V. Shevchenko (2015). Advances in Heavy Tailed Risk Modeling: a Handbook of Operational Risk, Wiley.
  • P.V. Shevchenko (2011). Modelling Operational Risk Using Bayesian Inference. Berlin, Springer.

White paper/media articles:

Book chapters

  • P.V. Shevchenko (2014). Operational Risk. Chapter 7, pp. 119-140 in Investment Risk Management, edited by H. Kent Baker and Greg Filbeck, Oxford University Press, New York.
  • P.V. Shevchenko and M.V. Wüthrich (2010). Operational Risk: Combining Internal Data, External Data and Expert Opinions. Chapter 13, pp. 401-437 in Rethinking Risk Measurement and Reporting, Volume II edited by Klaus Böcker, Risk Books, London.

Journal Papers

  • G.W. Peters, P.V. Shevchenko, B. Hassani and A. Chapelle (2016). Should the advanced measurement approach be replaced with the standardized measurement approach for Operational Risk? Journal of Operational Risk 11(3), 1-49, DOI: 10.21314/JOP.2016.177, http://arxiv.org/abs/1607.02319
  • G. W. Peters, R.S. Targino and P.V. Shevchenko (2013) Understanding Operational Risk Capital Approximations: First and Second Orders. The Journal of Governance and Regulation 2(3), 58-78. DOI: 10.22495/jgr_v2_i3_p6. Preprint, http://arxiv.org/abs/1303.2910
  • P.V. Shevchenko and G. W. Peters (2013). Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation. The Journal of Governance and Regulation 2(3), 33-57. DOI: 10.22495/jgr_v2_i3_p5. Preprint, http://arxiv.org/abs/1306.1882
  • G.W. Peters, A.D. Byrnes and P.V. Shevchenko (2011). Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses? Insurance: Mathematics and Economics, 48, 287-303. Preprint, http://arxiv.org/abs/1010.4406
  • G. W. Peters, P.V. Shevchenko, M. Young and W. Yip (2011). Analytic Loss Distributional Approach Models for Operational Risk from the α-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation. Insurance Mathematics & Economics 49(3), 565-579. Preprint, http://arxiv.org/abs/1102.3582
  • P.V. Shevchenko (2010). Calculation of aggregate loss distributions. The Journal of Operational Risk 5(2), 3-40. Preprint, http://arxiv.org/abs/1008.1108
  • P. V. Shevchenko (2010). Implementing loss distribution approach for operational risk. Applied Stochastic Models in Business and Industry 26(3), 277-307. Preprint, http://arxiv.org/abs/0904.1805
  • P.V. Shevchenko and G. Temnov (2009). Modelling operational risk data reported above time varying threshold. The Journal of Operational Risk 4(2), 19-42. Preprint, http://arxiv.org/abs/0904.4075
  • X. Luo and P.V. Shevchenko (2009). Computing Tails of Compound Distributions using Direct Numerical Integration. The Journal of Computational Finance 13(2), 73-111. Preprint, http://arxiv.org/abs/0904.0830
  • D. D. Lambrigger, P.V. Shevchenko and M. V. Wüthrich (2008). Data combination under Basel II and Solvency 2: Operational Risk goes Bayesian. The Bulletin of the French Actuaries (Bulletin Français d’Actuariat) 8(16), 4-13. Published version
  • P.V. Shevchenko (2008). Estimation of Operational Risk Capital Charge under Parameter Uncertainty. The Journal of Operational Risk 3(1), 51-63. Preprint, http://arxiv.org/abs/0904.1771.  DOI: 10.21314/JOP.2008.039
  • D. D. Lambrigger, P.V. Shevchenko and M. V. Wüthrich (2007). The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions. The Journal of Operational Risk 2(3), 3-27. Preprint, http://arxiv.org/abs/0904.1361. DOI: 10.21314/JOP.2007.030
  • X. Luo, P. V. Shevchenko and J.B. Donnelly (2007). Addressing Impact of Truncation and Parameter Uncertainty on Operational Risk Estimates. The Journal of Operational Risk 2(4), 3-26. Preprint, http://arxiv.org/abs/0904.2910. DOI: 10.21314/JOP.2007.034
  • H. Bühlmann, P.V. Shevchenko and M. V. Wüthrich (2007). A “Toy” Model for Operational Risk Quantification using Credibility Theory. The Journal of Operational Risk 2(1), 3-19. Preprint, http://arxiv.org/abs/0904.1772. DOI: 10.21314/JOP.2007.023
  • P.V. Shevchenko and M. V. Wüthrich (2006). The Structural Modelling of Operational Risk via the Bayesian Inference: Combining Loss Data with Expert Opinions. The Journal of Operational Risk 1(3), 3-26. Preprint, http://arxiv.org/abs/0904.1067
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