Practices and issues in operational risk modeling under Basel II

DOI10.1007/S10986-011-9118-4MaRDI QIDQ647154zbMATHOpenAlexFDO

Authors Paul Embrechts, Marius Hofert

Publication date 1 December 2011

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11850/37596

zbMATH Keywords

Basel IIoperational risk modelingpractices and issues

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Financial applications of other theories (91G80)

Recommendations

• How to model operational risk if you must
• Operational risk modelling and management.
• Implementing loss distribution approach for operational risk
• Numerical modelling of operational risks for the banking industry
• Modelling of a loss distribution ansatz in the frame of the advanced measurement approach for optional risk under Basel II.

Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• Ruin problem and how fast stochastic processes mix
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

Cited in

(11)

• Numerical modelling of operational risks for the banking industry
• How to model operational risk if you must
• The application of the loss distributed approach to the quantification of operational risk
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• Verification of internal risk measure estimates
• Operational Risk Modelling in Financial Services
• A naive uncertainty model for measuring operational risks faced by financial institutions
• Modeling operational risk incorporating reputation risk: an integrated analysis for financial firms
• Basel II -- achievements and challenges
• Information Security and Privacy
• Operational risk: emerging markets, sectors and measurement

Describes a project that uses

Uses Software

• QRM

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