منابع مشابه
Aggregation Issues in Operational Risk
In this paper we study copula-based models for aggregation of operational risk capital across business lines in a bank. A commonly used method of summation of the value-at-risk (VaR) measures, that relies on a hypothesis of full correlation of losses, becomes inappropriate in the presence of dependence between business lines and may lead to over-estimation of the capital charge. The problem can...
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 کاملPractices and Issues in Operational Risk Modeling under Basel Ii
We provide an introduction and overview to operational risk modeling according to the Basel II legal documents and summarize observed practices and issues as well as suggested approaches for measuring and quantifying operational risk.
متن کاملQuantitative Models for Operational Risk: Extremes, Dependence and Aggregation
Due to the new regulatory guidelines known as Basel II for banking and Solvency 2 for insurance, the financial industry is looking for qualitative approaches to and quantitative models for operational risk. Whereas a full quantitative approach may never be achieved, in this paper we present some techniques from probability and statistics which no doubt will prove useful in any quantitative mode...
متن کاملWeekly community interviews with high-risk participants: operational issues.
To address several key questions in social science research, repeated interviews of individuals drawn from difficult populations are required. This article describes an approach for addressing the challenges associated with longitudinal interview studies, including locating research participants, obtaining reliable and valid interview data over time, and retaining participants across the course...
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ژورنال
عنوان ژورنال: The Journal of Operational Risk
سال: 2008
ISSN: 1744-6740
DOI: 10.21314/jop.2008.048