5 citations · 6 across the 2 of their papers we have counts for
2 papers
q-fin.RM2009★ 1 cited
Risk Concentration and Diversification: Second-Order Properties
Matthias Degen, Dominik D. Lambrigger, Johan Segers
The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. H…
q-fin.RM2009★ 5 cited
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
Dominik D. Lambrigger, Pavel V. Shevchenko, Mario V. Wüthrich
To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity dist…