Implications of alternative operational risk modeling techniques - Info and Reading Options
By Patrick de Fontnouvelle
"Implications of alternative operational risk modeling techniques" was published by National Bureau of Economic Research in 2005 - Cambridge, MA and the language of the book is English.
“Implications of alternative operational risk modeling techniques” Metadata:
- Title: ➤ Implications of alternative operational risk modeling techniques
- Author: Patrick de Fontnouvelle
- Language: English
- Publisher: ➤ National Bureau of Economic Research
- Publish Date: 2005
- Publish Location: Cambridge, MA
“Implications of alternative operational risk modeling techniques” Subjects and Themes:
- Subjects: Banks and banking - Mathematical models - Risk management - Operational risk
Edition Specifications:
- Format: Electronic resource
Edition Identifiers:
- The Open Library ID: OL3477095M - OL5891711W
- Library of Congress Control Number (LCCN): 2005616709
AI-generated Review of “Implications of alternative operational risk modeling techniques”:
"Implications of alternative operational risk modeling techniques" Description:
The Open Library:
"Quantification of operational risk has received increased attention with the inclusion of an explicit capital charge for operational risk under the new Basle proposal. The proposal provides significant flexibility for banks to use internal models to estimate their operational risk, and the associated capital needed for unexpected losses. Most banks have used variants of value at risk models that estimate frequency, severity, and loss distributions. This paper examines the empirical regularities in operational loss data. Using loss data from six large internationally active banking institutions, we find that loss data by event types are quite similar across institutions. Furthermore, our results are consistent with economic capital numbers disclosed by some large banks, and also with the results of studies modeling losses using publicly available "external" loss data"--National Bureau of Economic Research web site.
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