Operational Risk
Details
Serval ID
serval:BIB_D3F105E6C41A
Type
A part of a book
Publication sub-type
Chapter: chapter ou part
Collection
Publications
Institution
Title
Operational Risk
Title of the book
Encyclopedia of Quantitative Finance
Publisher
John Wiley & Sons, Ltd
ISBN
9780470057568
9780470061602
9780470061602
Publication state
Published
Issued date
15/05/2010
Peer-reviewed
Oui
Editor
Cont R.
Edition
NA
Language
english
Abstract
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.
Keywords
Loss distribution approach, Operational risk, Extreme value theory, Value-at-Risk, g-and-h distribution
Publisher's website
Create date
23/08/2011 8:04
Last modification date
20/08/2019 15:53