Ruin Theory Revisited: Stochastic Models for Operational Risk
نویسندگان
چکیده
The new Basel Capital Accord has opened up a discussion concerning the measurement of operational risk for banks. In our paper we do not take a stand on the issue of whether or not a quantitatively measured risk capital charge for operational risk is desirable; however, given that such measurement will come about, we review some of the tools which may be useful towards the statistical analysis of operational loss data. We also discuss the relevance of these tools for foreign reserves risk management of central banks.
منابع مشابه
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