A Method of Estimating Operational Risk: Loss Distribution Approach with Piecewise-defined Frequency Dependence
نویسندگان
چکیده
منابع مشابه
Implementing Loss Distribution Approach for Operational Risk
To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Approach. There are many modeling issues that should be resolved to use the approach in practice. In this paper we review the quantitative methods suggested in literature for implementation of the approach. In particular,...
متن کاملA tale of tails: An empirical analysis of loss distribution models for estimating operational risk capital
Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risk measurement is of paramount concern for the purposes of capital allocation, hedging, and new product development for risk mitigation. We perform a comprehensive evaluation of commonly used methods and int...
متن کاملA new Algorithm for the Loss Distribution Function with applications to Operational Risk Management
Executive Summary Operational risk management inside banks and insurance companies is currently an important task. The computation of a risk measure associated to these kinds of risks lies on the knowledge of the so-called Loss Distribution Function (LDF). Traditionally this LDF is computed via Monte Carlo simulations or using the Panjer recursion which is an iterative algorithm. In this paper,...
متن کاملFiring-rate, symbolic dynamics and frequency dependence in periodically driven spiking models: a piecewise-smooth approach
In this work we consider a periodically forced generic integrate-and-fire model with a unique attracting equilibrium in the subthreshold dynamics and study the dependence of the firing-rate on the frequency of the drive. In an earlier study we have obtained rigorous results on the bifurcation structure in such systems, with emphasis on the relation between the firing-rate and the rotation numbe...
متن کاملOperational Risk Quantification – A Risk Flow Approach
The topic of operational risk has gained increasing attention in both academic research and in practice. We discuss means to quantify operational risk with specific focus on manufacturing companies. In line with the view of depicting operations of a company using material, financial and information flows, we extend the idea of overlaying the three flows with risk flow to assess operational risk...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Procedia Computer Science
سال: 2017
ISSN: 1877-0509
DOI: 10.1016/j.procs.2017.11.368