Journal of Operational Risk

Risk.net

LDA at work: Deutsche Bank's approach to quantifying operational risk

Falko Aue and Michael Kalkbrener

ABSTRACT

The Advanced Measurement Approach in the Basel II Accord permits an unprecedented amount of flexibility in the methodology used to assess operational risk capital requirements. In this paper we present the capital model developed at Deutsche Bank and implemented in its official economic capital process. The model follows the Loss Distribution Approach (LDA). Our presentation focuses on the main quantitative components, ie, use of loss data and scenarios, frequency and severity modeling, dependence concepts, risk mitigation and capital calculation and allocation. We conclude with a section on the analysis and validation of LDA models.

 

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: