Technical paper/Risk measurement
Converting a covariance matrix from local currencies to a common currency
The authors put forward a simple means to translate a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency.
A study of China’s financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
How to choose the dependence types in operational risk measurement? A method considering strength, sensitivity and simplicity
Cyber risk definition and classification for financial risk management
A theory for combinations of risk measures
This paper investigates combinations of risk measures under no restrictive assumption on the set of alternatives, obtaining results regarding the preservation of properties and acceptance sets for these combinations of risk measures.
Key impact deep dive (KIDD)
This paper proposes a KIDD (key impact deep dive) approach for assessing extreme risks based on assessing key impact types.
Nonconvex noncash risk measures
This paper looks at nonconvex, noncash risk measures with p-norm (1 ≤ p ≤ ∞) for nonweak cone-type acceptable sets.
Risk capital reserve and measurement precision in modeling heavy-tailed single operational losses
This paper provides a rationale for adopting quantitative buffer capital, designed to absorb variations due to measurement errors, especially those originating from the estimation risk.
Model risk management: from epistemology to corporate governance
In this paper, the authors conduct an analysis of model risk in an attempt to understand the main issues that lead to failures and the best way to address such issues.
Operational risk measurement: a loss distribution approach with segmented dependence
This paper proposes an approach, called the loss distribution approach with segmented dependence (LDA-SD), which can model the different dependencies of HFLI and LFHI losses in the framework of LDA.
Measuring latent risk preferences: minimizing measurement biases
In this paper, the author uses a unique data set, containing the revealed risk preferences of 9235 subjects, elicited with four different methods, to estimate latent risk preferences.
News-sentiment networks as a company risk indicator
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
Shortfall deviation risk: an alternative for risk measurement
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Going beyond the regulatory requirements to operational risk measurement, the authors of this paper aim to provide relevant business applications to a bank.
Model uncertainty in risk capital measurement
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
Suitability of capital allocations for performance measurement
Capital allocation principles are used in various contexts in which the risk capital or the cost of an aggregate position has to be allocated between its constituent parts.