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- W2113144039 abstract "This paper incorporates insurance contracts into an operational risk model based on idiosyncratic and common shocks. A key feature of the approach is the explicit modelling of residual risk inherent in insurance contracts, such as counterparty default, payment uncertainty and liquidity risk due to delayed payments. Compared to the standard haircut approach, the net loss distribution exhibits a larger weight on the tail. Thereby an underestimation of extreme losses and loss clusters is avoided. The difference between the models is statistically significant for the means and the 99.9% - quantiles of the distribution." @default.
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- W2113144039 date "2004-01-01" @default.
- W2113144039 modified "2023-10-14" @default.
- W2113144039 title "Operational Risk and Insurance: Quantitative and Qualitative Aspects" @default.
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- W2113144039 doi "https://doi.org/10.2139/ssrn.493082" @default.
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