Abdymomunov, A., Curti, F., and Mihov, A. (2015). U.S. Banking sector operational losses and the macroeconomic environment. Working Paper, Federal Reserve Bank of Richmond.
Agarwal, V. and Taffler, R. (2008). Comparing the performance of market-based and accounting-based bankruptcy prediction models. Journal of Banking & Finance, 32(8):1541–1551.
Altman, E. and Sabato, G. (2007). Modelling credit risk for SMEs: Evidence from the US market. Abacus, 43(3):332–357.
Bao, Y., Lee, T., and Saltoglu, B. (2006). Evaluating predictive performance of value-at-risk models in emerging markets: a reality check. Journal of Forecasting, 25(2):101–128.
- Basel Committee on Banking Supervision (2006). International convergence of capital measurement and capital standards. Bank of International Settlements.
Paper not yet in RePEc: Add citation now
Berkowitz, J. and O’Brien, J. (2002). How accurate are value-at-risk models at commercial banks? The Journal of Finance, 57(3):1093–1111.
Bharath, S. and Shumway, T. (2008). Forecasting default with the Merton distance to default model. Review of Financial Studies, 21(3):1339–1369.
- Board of Governors of the Federal Reserve System (2014). BCC 14-1, Supervisory guidance for data, modeling, and model risk management under the operational risk advanced measurement approaches.
Paper not yet in RePEc: Add citation now
- Board of Governors of the Federal Reserve System (2015a). Code of Federal Regulations, Title 12, Part 217, Subpart E.
Paper not yet in RePEc: Add citation now
- Board of Governors of the Federal Reserve System (2015b). Comprehensive capital analysis and review 2015: Assessment framework and results.
Paper not yet in RePEc: Add citation now
- Board of Governors of the Federal Reserve System (2016). Comprehensive capital analysis and review 2016. Summary Instructions.
Paper not yet in RePEc: Add citation now
Cameron, A., Gelbach, J., and Miller, D. (2008). Bootstrap-based improvements for inference with clustered errors. The Review of Economics and Statistics, 90(3):414–427.
Chernobai, A., Jorion, P., and Yu, F. (2011). The determinants of operational risk in U.S. financial institutions. Journal of Financial and Quantitative Analysis, 46(6):1683–1725.
Cope, E., Piche, M., and Walter, J. (2012). Macroenviromental determinants of operational loss severity. Journal of Banking & Finance, 36(5):1362–1380.
Escanciano, J. and Olmo, J. (2011). Robust backtesting tests for value-at-risk models. Journal of Financial Econometrics, 9(1):132–161.
Gaglianone, W., Lima, L., Linton, O., and Smith, D. (2012). Evaluating value-at-risk models via quantile regression. Journal of Business & Economic Statistics.
Gupton, G. (2005). Advancing loss given default prediction models: how the quiet have quickened. Economic Notes, 34(2):185–230.
- Hillegeist, S., Keating, E., Cram, D., and Lundstedt, K. (2004). Assessing the probability of bankruptcy. Review of accounting studies, 9(1):5–34.
Paper not yet in RePEc: Add citation now
- Jung, Y., Lee, Y., and MacEachem, S. N. (2015). Efficient quantile regression for heteroscedastic models. Journal of Statistical Computation and Simulation, 85(13):2548– 2568.
Paper not yet in RePEc: Add citation now
- Koenker, R. (2005). Quantile regression. Number 38. Cambridge university press.
Paper not yet in RePEc: Add citation now
Koenker, R. and Bassett, J. G. (1978). Regression quantiles. Econometrica: Journal of the Econometric Society, pages 33–50.
Koenker, R. and Hallock, K. (2001). Quantile regression: An introduction. Journal of Economic Perspectives, 15(4):43–56.
Lopez, J. and Saidenberg, M. (2000). Evaluating credit risk models. Journal of Banking & Finance, 24(1-2):151–165.
Perignon, C., Deng, Z., and Wang, Z. (2008). Do banks overstate their value-at-risk? Journal of Banking & Finance, 32(5):783–794.