Journal of Operational Risk
ISSN:
1744-6740 (print)
1755-2710 (online)
Editor-in-chief: Marcelo Cruz
An econometric model to scale operational losses
Heru Sataputera Na, Jan van den Berg, Lourenco Couto Miranda, Marc Leipoldt
Abstract
ABSTRACT
One of the major topics related to the modeling of operational risk is the nonavailability of a sufficient amount of data within financial institutions. This paper describes a way to circumvent this problem by presenting a scaling mechanism that enables us to put data originating from several sources together in one modeling framework. Using both internal data from different business units and publicly available data from other institutions, we show that a power law relationship exists between losses incurred in business units and their gross revenue. We also show how the resulting aggregated data set can be used to calculate operational value-at-risk.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net