Implementing loss distribution approach for operational risk
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,...
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بیمه گران همیشه بابت خسارات بیمه نامه های تحت پوشش خود نگران بوده و روش هایی را جستجو می کنند که بتوانند داده های خسارات گذشته را با هدف اتخاذ یک تصمیم بهینه مدل بندی نمایند. در این پژوهش توزیع های فیزتایپ در مدل بندی داده های خسارات معرفی شده که شامل استنباط آماری مربوطه و استفاده از الگوریتم em در برآورد پارامترهای توزیع است. در پایان امکان استفاده از این توزیع در مدل بندی داده های گروه بندی ...
A 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,...
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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...
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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...
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ژورنال
عنوان ژورنال: Applied Stochastic Models in Business and Industry
سال: 2009
ISSN: 1524-1904,1526-4025
DOI: 10.1002/asmb.812