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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26814

Title: Cyclicality in Catastrophic and Operational Risk Measurements
Authors: Allen, Linda
Keywords: operational risk
catastrophic risk
value at risk
extreme value theory
skewed fat tailed distribution
Issue Date: Nov-2003
Series/Report no.: S-DRP-03-12
Abstract: Using equity returns for financial institutions we estimate both catastrophic and operational risk measures over the period 1973-2001. We find evidence of cyclical components in both the catastrophic and operational risk measures obtained from the Generalized Pareto Distribution and the Skewed Generalized Error Distribution. Our new, comprehensive approach to measuring operational risk shows that approximately two thirds of financial institutions’ returns represents compensation for operational risk.
URI: http://hdl.handle.net/2451/26814
Appears in Collections:Derivatives Research

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