  Typ výsledku
Autor celku
Název celku(Celkem 19 zázn.)
|
|---|
| Rippel, Milan, Suchánková, Lucie. Pojištění jako nástroj řízení operačního rizika. In sborník. Sborník příspěvků z 5. mezinárodní vědecké konference Řízení a modelování finančních rizik. Ostrava: VŠB Ostrava, 2010. s. 343–350. ISBN 978-80-248-2306-5. [Kapitola nebo část knihy] Příspěvek ve sborníku z konference Řízení a monitorování finančních rizik 2010 pořádané VŠB Ostrava.
|
| Rippel, Milan, Šolc, Jan, Flasza, Robert. Modeling Long-Term Electricity Contracts at EEX. In Sborník. Proceedings of the 2nd International Conference on Business and Economy-Constanta. New York, USA: Addleton Academic Publishers, 2010. s. 116–125. ISBN 978-1-935494-18-8. [Kapitola nebo část knihy] Sborník přispěvků konference ICBE 2010, Constanta, Romania
|
| Rippel, Milan, Teplý, Petr. The Theoretical Background of Operational Risk Management. In Sbornik. Proceedings of International Conference on Education and Management Technology. Cairo, Egypt: ICEMT 2010, 2010. s. 266–271. ISBN 978-1-4244-8617-5. [Kapitola nebo část knihy] Článek ve sborníku konference ICEMT 2010.
|
| Ivo Jánský. Value-at-risk forecasting with the ARMA-GARCH family of models: Evaluation of ARMA-GARCH based models in a period of increased volatility on stock markets. Saarbrücken, Germany: VDM Verlag Dr. Müller, 2011. 112 s. [Kniha] ISBN-10: 3639376382
ISBN-13: 978-3639376388 |
| Rippel, Milan, Jánský, Ivo. VaR Forecasting in Times of Increased Volatility. World Academy of Science, Engineering and Technology, 2011, sv. 59/2011, s. 1418–1424. ISSN 2010-3778. IF 0. [Článek v časopise] |
| Rippel, Milan, Šolc, Jan, Flasza, Robert. Modeling Prices of Electricity Futures at EEX. World Academy of Science, Engineering and Technology,, 2011, sv. 78/2011, s. 673–677. ISSN 2010-3778. IF 0. [Článek v časopise] |
| Rippel, Milan, Teply, Petr. Operational Risk – Scenario Analysis. World Academy of Science, Engineering and Technology, 2010, sv. 66/2010, s. 1283–1290. ISSN 2070-3740. IF 0. [Článek v časopise] |
| Rippel, Milan. Pojištění jako nástroj řízení operačního rizika – případová studie. Politická ekonomie, 2012, sv. 4/2012, s. 523–536. ISSN 0032-3233. IF 0.380. [Článek v časopise] Operational risk management has becoming more important in the financial industry in the recent years mainly due to scandals in UBS in 2011 and Societé Générale in 2007. The reasons for this attention can be attributed to introduction of operational risk into the Basel II regulatory framework and to high losses stemming from operational risk events. Despite the fact that the new Basel III proposal does not give much attention to this risk, operational risk should not be underestimated. In this paper we present a theoretical background for the use of insurance in banks´ operational management according to Basel II rules. Moreover, we provide empirical analysis of the role of insurance in operational risk management in an anonymous bank located in Central Europe. We compare the results of our case study with impact studies conducted for Basel II evaluation. Based on our analysis we reject a hypothesis that insurance serves as an effective mitigation tool of operational risk in case of the researched bank.
|
| Rippel, Milan, Teply, Petr, Černohorská, Liběna. Key Operational Risk Management Techniques. Scientific Papers of The University Pardubice,, 2010, sv. 16/2010, s. 41–50. ISSN 1804-848. IF 0. [Článek v časopise] |
| Rippel, Milan, Teply, Petr. Operational Risk - Scenario Analysis. Prague Economic Papers, 2011, sv. 1/2011, s. 23–39. ISSN 1210-0455. IF 0.256. [Článek v časopise] This paper focuses on operational risk measurement techniques and on economic capital estimation methods. A data sample of operational losses provided by an anonymous Central European bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach and the Extreme Value Theory, including scenario analysis method, are considered. Custom plausible loss events defined in a particular scenario are merged with the original data sample and their impact on capital estimates and on the financial institution as a whole is evaluated. Two main questions are assessed – what is the most appropriate statistical method to measure and model operational loss data distribution and what is the impact of hypothetical plausible events on the financial institution. The g&h distribution was evaluated to be the most suitable one for operational risk modeling. The method based on the combination of historical loss events modeling and scenario analysis provides reasonable capital estimates and allows for the measurement of the impact of very extreme events on banking operations.
|
| Rippel, Milan, Šolc, Jan, Flasza, Robert. Modeling Prices of Electricity Futures at EEX. WORLD ACADEMY OF SCIENCE, ENGINEERING AND TECHNOLOGY, 2011, sv. 78/2011, s. 673–677. ISSN 2010-3778. [Článek v časopise] Článek v časopise indexovaném ve Scopusu
|
| Rippel, Milan, Teplý, Petr.. Operational Risk - Scenario Analysis. Prague Economic Papers, 2011, sv. 1, s. 23–39. ISSN 1210-0455. IF 0.305. [Článek v časopise] |
| Rippel, Milan, Jánský, Ivo. VaR Forecasting in Times of Increased Volatility. World Academy of Science, Engineering and Technology, 2011, sv. 59/2011, s. 1418–1424. ISSN 2010-3778. [Článek v časopise] Článek v časopise indexovaném ve Scopusu.
|
| Rippel, Milan, Teplý Petr, Černohorská, Liběna. Key Operational Risk Management Techniques. Scientific Papers of The University Pardubice, 2010, sv. 16/2010, s. 41–50. ISSN 1211-555X. [Článek v časopise] Článek v recenzovaném časopise
|
| Rippel, Milan, Teplý, Petr. Operational Risk - Scenario Analysis. Prague Economic Papers, 2010, sv. 4/2010, s. 1–1. ISSN 1210-0455. [Článek v časopise] Článek je přijat k publikaci v EconLit časopise v čísle 4/2010 nebo 1/2011
|
| Rippel, Milan, Teplý, Petr. Scenario Analysis in Operational Risk Management. WORLD ACADEMY OF SCIENCE, ENGINEERING AND TECHNOLOGY, 2010, sv. 66/2010, s. 1283–1290. ISSN 2070-3740. [Článek v časopise] Článek ve sborníku z konference WASET June 2010, Paříž
|
| Rippel, Milan, Šolc, Jan, Flasza, Robert, IES Working Paper 8/2011 Modelling Long-Term Electricity Contracts at EEX [Jiný výsledek] |
| Ivo Jánský, Milan Rippel, IES Working Paper 27/2011: Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility [Jiný výsledek] |
| Rippel, Milan, Šolc, Jan, Flasza, Robert, Modelling Long-Term Electricity Contracts at EEX, IES Working Paper (accepted after revisions) [Jiný výsledek] |
