operational-risk

There are 1 repository under operational-risk topic.

TommasoBelluzzo / BaselTools
A framework for estimating Basel IV capital requirements.
banking-system capital-requirements financial-analysis risk-analysis risk-models counterparty-credit-risk financial-data financial-instruments operational-risk quantitative-analysis quantitative-finance quantitative-methods risk-management
Language:MATLAB 17
SiruiJi / ml4frm
Machine learning for financial risk management
market-risk time-series-analysis volatility-modeling credit-risk liquidity-risk operational-risk other-financial-risk-modeling
Language:Python 9
rena95 / Loss-Distribution-Approach
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
risk-management operational-risk loss-distribution lda loss-distribution-approach extreme-value-statistics copula-models copula value-at-risk r
Language:R 7