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:

• Gareth W. Peters, Pavel Shevchenko, Bertrand Hassani and Ariane Chapelle (3 June 2016). Standardized Measurement approach for Operational Risk: Pros and Cons. Uploaded to Basel committee website www.bis.org, response to Basel Committee for Banking Supervision consultative document  “Standardised Measurement Approach for operational risk” issued in March 2016 for comments by 3 June 2016. https://www.bis.org/bcbs/publ/comments/d355/suefu.pdf and http://ssrn.com/abstract=2789006.
• Ariane Chapelle, Bertrand Hassani, Gareth W Peters, Evan Sekeris, Pavel Shevchenko (17 March 2016). Discarding the AMA could become a source of op risk. Published online on Risk.Net (response to Basel committee proposed changes to operational risk capital requirement formulas). http://www.risk.net/operational-risk-and-regulation/opinion/2451089/discarding-the-ama-could-become-a-source-of-op-risk

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