Implementing loss distribution approach for operational risk
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Publication:3103153
DOI10.1002/ASMB.812zbMATH Open1226.91080arXiv0904.1805OpenAlexW2952822038MaRDI QIDQ3103153FDOQ3103153
Authors: Pavel V. Shevchenko 
Publication date: 26 November 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0904.1805
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Cited In (23)
- Bayesian copulae distributions, with application to operational risk management
- A note on the estimation of the frequency and severity distribution of operational losses
- A nonparametric operational risk modeling approach based on Cornish-Fisher expansion
- Bayesian estimation of truncated data with applications to operational risk measurement
- The cost of operational risk loss insurance
- Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
- A Bayesian approach to estimate the marginal loss distributions in operational risk management
- Analysis of an aggregate loss model in a Markov renewal regime
- Modelling operational risk using Bayesian inference.
- The optimal operational risk capital requirement by applying the advanced measurement approach
- USING WEIGHTED DISTRIBUTIONS TO MODEL OPERATIONAL RISK
- Measuring of inferred loss rate with application to capital adequacy
- Modelling of a loss distribution ansatz in the frame of the advanced measurement approach for optional risk under Basel II.
- Bayesian model choice of grouped \(t\)-copula
- Numerical modelling of operational risks for the banking industry
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
- Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
- 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
- How to model operational risk if you must
- The application of the loss distributed approach to the quantification of operational risk
- Approximation of aggregate and extremal losses within the very heavy tails framework
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