Quantitative models for operational risk: Extremes, dependence and aggregation
نویسندگان
چکیده
منابع مشابه
Quantitative 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 کاملExtremes in operational risk management
Operational risk is defined as a consequence of critical contingencies most of which are quantitative in nature and many questions regarding economic capital allocation for operational risk continue to be open. Existing quantitative models that compute the value at risk for market and credit risk do not take into account operational risk. They also make various assumptions about ’normality’ and...
متن کامل1 Extremes in operational risk management
Operational risk is defined as a consequence of critical contingencies most of which are quantitative in nature and many questions regarding economic capital allocation for operational risk continue to be open. Existing quantitative models that compute the value at risk for market and credit risk do not take into account operational risk. They also make various assumptions about ’normality’ and...
متن کاملMultivariate Extremes, Aggregation and Dependence in Elliptical Distributions
In this paper we clarify dependence properties of elliptical distributions by deriving general but explicit formulas for the coefficients of upper and lower tail dependence and spectral measures with respect to different norms. We show that an elliptically distributed random vector is regularly varying if and only if the bivariate marginal distributions have tail dependence. Furthermore, the ta...
متن کاملAggregation 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...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2006
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2005.11.008