Dr. Kamil Mizgier receives Best Paper Award from the Journal of Operational Risk
The highly competitive paper of the year award was given to a team of ETH authors for their work where they used dynamic extreme value theory (EVT) to explore the links between internal control weaknesses and the severity of operational losses.
At the Swiss Federal Institute of Technology Zurich (ETH Zurich), Prof. Dr. Paul Embrechts, Dr. Kamil Mizgier, and external pageXian Chen used dynamic extreme value theory (EVT) to explore the links between internal control weaknesses and the severity of operational risk losses.
For this article entitled “Modeling operational risk depending on covariates: an empirical investigation” and published in March 2018 in the Journal of Operational Risk, they received the journal’s 2019 Paper of the Year Award. It was the first use of dynamic EVT to link internal control weaknesses to severity rather than simply frequency.