Operational risk modelling
This paper focuses on the distribution of correlations among aggregate operational risk losses.
Following two regular contributions, this issue of The Journal of Operational Risk contains two papers from the CFS Conference on Operational Risk: Management and Measurement, which took place on March...
This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data.
More Operational risk modelling articles
Quantifying risks useful, but only when informing decision making
Banks and regulators urged to up their game in stress tests and scenario analysis
Risk managers urged to focus on group dynamics
Advantages include lower costs and capital
Volume 9, Issue 2 (2014)
The specification of dependence structures and the assessment of their effects on the total risk capital are still open issues in modeling operational risk. In this paper, we investigate the potential...
In the loss distribution approach, operational risk is modeled in terms of the distribution of sums of independent random losses. The frequency count in the period of aggregation and the severities of...
We propose a new approach for estimating operational risk models under the loss distribution approach from historically observed losses. Our method is based on extreme value theory and, being Bayesian...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.