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Journal Articles

Testing risk proxies for financial collateral haircuts: adequacy of capturing tail risk

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Lukasz Prorokowski, Oleg Deev, Hubert Prorokowski
Journal: The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 299–316.
https://doi.org/10.1108/JRF-07-2019-0135
Published: 06 July 2020
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Journal Articles

Operational risk capital charges (Basel II): factoring in external loss data to the internal datasets

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Lukasz Prorokowski
Journal: The Journal of Risk Finance
Journal of Risk Finance (2015) 16 (5): 519–535.
https://doi.org/10.1108/JRF-05-2015-0049
Published: 16 November 2015
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