Operational Risk

Détails

ID Serval
serval:BIB_D3F105E6C41A
Type
Partie de livre
Sous-type
Chapitre: chapitre ou section
Collection
Publications
Institution
Titre
Operational Risk
Titre du livre
Encyclopedia of Quantitative Finance
Auteur⸱e⸱s
Chavez-Demoulin V., Embrechts P.
Editeur
John Wiley & Sons, Ltd
ISBN
9780470057568
9780470061602
Statut éditorial
Publié
Date de publication
15/05/2010
Peer-reviewed
Oui
Editeur⸱rice scientifique
Cont R.
Edition
NA
Langue
anglais
Résumé
Under the capital requirements of the Basel II regime, banks have to provide estimates of their operational risk on a yearly basis and, for larger international banks, use a Value-at- Risk estimate at the confidence level of 99.9%. The so-called loss distribution approach (LDA) allows for broad methodological flexibility for the estimation of this risk capital. In this article, we discuss some of the underlying statistical issues.
Mots-clé
Loss distribution approach, Operational risk, Extreme value theory, Value-at-Risk, g-and-h distribution
Création de la notice
23/08/2011 8:04
Dernière modification de la notice
20/08/2019 15:53
Données d'usage