A modified Panjer algorithm for operational risk capital calculations
نویسندگان
چکیده
منابع مشابه
Quantifying Regulatory Capital for Operational Risk
The proposed New Accord (Basel II) established by the Basel Committee on Banking Supervision calls for an explicit treatment of operational risk. Banks are required to demonstrate their ability to capture severe tail loss events. Value at risk is a risk measure that could be used to derive the necessary regulatory capital. Yet operational loss data typically exhibit irregularities which complic...
متن کاملIssues in Operational Risk Capital Modeling
In an effort to bolster soundness standards in banking, the 2006 international regulatory agreement of Basel II requires globally active banks to include operational risk in estimating regulatory and economic capital to be held against major types of risk. This paper discusses practical issues faced by a bank in designing and implementing an operational risk capital model. Focusing on the use o...
متن کاملA Modified Benders Decomposition Algorithm for Supply Chain Network Design under Risk Consideration
In today’s competitive business environment, the design and management of supply chainnetwork is one of the most important challenges that managers encounter. The supply chain network shouldbe designed for satisfying of customer demands as well as minizing the total system costs. This paper presentsa multi-period multi-stage supply chain network design problem under demand uncertainty. The prob...
متن کاملAn efficient threshold choice for operational risk capital computation
Operational risk quantification requires dealing with data sets which often present extreme values which have a tremendous impact on capital computations (VaR). In order to take into account these effects we use extreme value distributions, and propose a two pattern model to characterize loss distribution functions associated to operational risks: a lognormal on the corpus of the severity distr...
متن کاملCapital Requirements for Operational Risk: an Incentive Approach
This paper proposes a simple continuous time model to analyze capital charges for operational risk. We find that undercapitalized banks have less incentives to reduce their operational risk exposure. We view operational risk charge as a tool to reduce the moral hazard problem. Our results show, that only Advanced Measurement Approach may create appropriate incentives to reduce the frequency of ...
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: The Journal of Operational Risk
سال: 2009
ISSN: 1744-6740
DOI: 10.21314/jop.2009.068