The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions

Details The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions

2009-04-08

arxiv.org/abs/0904.1361v1

The Journal of Operational Risk 2(3), pp.3-27, 2007. www.journalofoperationalrisk.com

Economy

Quantitative Finance

Risk Management

Scientific paper

To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity distributions of operational risk involves the bank's internal data, expert opinions and relevant external data. In this paper we suggest a new approach, based on a Bayesian inference method, that allows for a combination of these three sources of information to estimate the parameters of the risk frequency and severity distributions.

Affiliated with

Also associated with

No associations

Rating

The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions 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 The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-214743