3 citations · 9 across the 20 of their papers we have counts for
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stat.AP2022★ 3 cited
A text analysis for Operational Risk loss descriptions
Davide Di Vincenzo, Francesca Greselin, Fabio Piacenza +1
Financial institutions manage operational risk (OpRisk) by carrying out activities required by regulation, such as collecting loss data, calculating capital requirements, and repor…
q-fin.RM2022★ 3 cited
Assessing the difference between integrated quantiles and integrated cumulative distribution functions
Yunran Wei, Ricardas Zitikis
This paper offers a mathematical invention that shows how to convert integrated quantiles, which often appear in risk measures, into integrated cumulative distribution functions, w…
stat.ME2022
Tail maximal dependence in bivariate models: estimation and applications
Ning Sun, Chen Yang, Ričardas Zitikis
Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the stren…