Implementing Loss Distribution Approach for Operational Risk

Economy – Quantitative Finance – Risk Management

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

10.1002/asmb.812

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, the use of the Bayesian inference method that allows to take expert judgement and parameter uncertainty into account, modeling dependence and inclusion of insurance are discussed.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Implementing Loss Distribution Approach for Operational Risk does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Implementing Loss Distribution Approach for Operational Risk, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Implementing Loss Distribution Approach for Operational Risk will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-442257

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.