Validate To Accumulate
Modelling tail risk is essential for any bank, but the need to be seen to be doing this accurately and efficiently has never been more of a priority. By Duncan Wood
MODELLING the tail of the loss distribution has always been the big challenge facing banks who want to be allowed to use the Advanced Measurement Approach (AMA) to calculate their own op risk capital. The problem has taken on a new urgency, now that banks are seeking to prove to regulators their models are robust.
The official tag for this process is 'validation', which covers everything from
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