A Study on VaR Stability for Operational Risk Management |
Kim, Hyun-Joong
(Department of Applied Statistics, Yonsei University)
Kim, Woo-Hwan (Yonsei Institute of Statistical Science) Lee, Sang-Cheol (Department, Korea Exchange Bank) Im, Jong-Ho (Department of Applied Statistics, Yonsei University) Cho, Sang-Hee (Department of Statistics, Yale University) Kim, Ah-Hyoun (Department of Applied Statistics, Yonsei University) |
1 | Bank for International Settlements (2005). Basel II: International Convergence of Capital Measurement and Capital Standards: a revised framework, Bank for International Settlements, Basel, Switzerland |
2 | Chernobai, A., Menn, C., Trueck, S. and Rachev, S. (2004). A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses, Applied Probability Trust, Technical Paper, Available from: http://ssrn.com/abstract=675936 |
3 | De Fontnouvelle, P., De Jesus-Rueff , V., Jordan, J. S. and Rosengren, E. S. (2003). Using Loss Data to Quantify Operational Risk, Technical Paper, Available from: http://ssrn.com/abstract=395083 |
4 | Shao, J. and Tu, D. (1995). The Jackknife and Bootstrap, Springer, New York |
5 | Walker A. M. (1968). A note on the asymptotic distribution of sample quantiles, Journal of the Royal Statistical Society, Series B, 30, 570-575 |
6 | Cruz, M. G. (2004). Operational Risk Modelling and Analysis: Theory and Practice, Risk Books, London |
7 | 금융감독원 (2005). 운영리스크 고급측정법 세부지침 , 금융감독원 신BIS실, 서울 |
8 | 금융감독원 (2006). 알기 쉬운 신BIS(제2편: 운영리스크/필라2/필라3), 금융감독원 신BIS실, 서울 |
9 | 선우석호, 전은영 (2006). 운영 리스크 추정과 손실분포 적합성 검증 , 한국금융연구원 금융조사보고서 |
10 | 조하현, 김현중 (2006). 운영리스크 고급측정법 모형의 양적 및 질적 적합성 검정 세부 기준 마련을 위한 연구 , 금융감독원 연구보고서 |
11 | 조하현, 이승국, 김종호 (2004). 운영 리스크 측정과 관리, 세경사, 서울 |