Operational risk modelled analytically II: classification invariance

In a simple model, Vivien Brunel establishes the properties of an operational risk model under the requirement of classification invariance

Risk.net poll shows quantitative indicators preferred

CLICK HERE TO VIEW THE PDF

It is critical to have a robust and sound methodology for operational risk assessment and capital measurement. The most common approach for measuring operational risk within a bank – namely the loss distribution approach (LDA) – is based on the frequency and severity estimation from observed events.

However, it is challenging to build accurate and robust estimations in this framework, as shown by Cope et al (2009).

One major issue of the LDA is pooling observed events

To continue reading...

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 indvidual account here: