OpVaR
Degen, M. (2010): The calculation of minimum regulatory capital using single-loss approximations. The Journal of Operational Risk, 5(4), 3.
Dehler, K. (2017): Bayesianische Methoden im operationellen Risiko. Master's Thesis, Friedrich-Alexander-University Erlangen-Nuremberg.
Ergashev, B. et al. (2013): A Bayesian Approach to Extreme Value Estimation in Operational Risk Modeling. Journal of Operational Risk 8(4):55-81
Frigessi, A. et al. (2002): A Dynamic Mixture Model for Unsupervised Tail Estimation Without Threshold Selection. Extremes 5(3):219-235
Kuo, T. C. and Headrick, T. C. (2014): Simulating Univariate and Multivariate Tukey g-and-h Distributions Based on the Method of Percentiles. ISRN Probability and Statistics.
Pfaelzner, F. (2017): Einsatz von Tukey-type Verteilungen bei der Quantifizierung von operationellen Risiken. Master's Thesis, Friedrich-Alexander-University Erlangen-Nuremberg.
Reynkens, T. et al. (2017): Modelling Censored Losses Using Splicing: a global fit strategy with mixed Erlang and Extreme Value Distributions. Insurance: Mathematics and Economics 77:67-77
Tukey, J. W. (1960): The Practical Relationship between the Common Transformations of Counts of Amounts. Technical Report 36, Princeton University Statistical Techniques Research Group, Princeton.