Implementing loss distribution approach for operational risk
From MaRDI portal
Abstract: 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.
Recommendations
- Modelling operational risk using Bayesian inference.
- Operational risk modelling and management.
- A Bayesian approach to estimate the marginal loss distributions in operational risk management
- A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS
- Numerical modelling of operational risks for the banking industry
Cites work
- A course in credibility theory and its applications
- A generalization of Panjer's recursion and numerically stable risk aggregation
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- An Extension of Panjer's Recursion
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Bayesian copulae distributions, with application to operational risk management
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- Efficient And Precise Computation Of Convolutions: Applying Fft To Heavy Tailed Distributions
- scientific article; zbMATH DE number 997340 (Why is no real title available?)
- scientific article; zbMATH DE number 3826980 (Why is no real title available?)
- scientific article; zbMATH DE number 1128584 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Model uncertainty in claims reserving within Tweedie's compound Poisson models
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Operational Risk
- Panjer recursion versus FFT for compound distributions
- Solvency
- Stochastic claims reserving methods in insurance
- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
Cited in
(23)- A Bayesian approach to estimate the marginal loss distributions in operational risk management
- Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Bayesian model choice of grouped t-copula
- Analysis of an aggregate loss model in a Markov renewal regime
- Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
- A nonparametric operational risk modeling approach based on Cornish-Fisher expansion
- The optimal operational risk capital requirement by applying the advanced measurement approach
- Approximation of aggregate and extremal losses within the very heavy tails framework
- Modelling operational risk using Bayesian inference.
- A note on the estimation of the frequency and severity distribution of operational losses
- Bayesian copulae distributions, with application to operational risk management
- USING WEIGHTED DISTRIBUTIONS TO MODEL OPERATIONAL RISK
- Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
- Bayesian estimation of truncated data with applications to operational risk measurement
- How to model operational risk if you must
- The application of the loss distributed approach to the quantification of operational risk
- The cost of operational risk loss insurance
- Modelling of a loss distribution ansatz in the frame of the advanced measurement approach for optional risk under Basel II.
- Numerical modelling of operational risks for the banking industry
- Practices and issues in operational risk modeling under Basel II
- Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation
- Measuring of inferred loss rate with application to capital adequacy
This page was built for publication: Implementing loss distribution approach for operational risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3103153)
