Loss distribution approach for operational risk capital modelling under Basel II: Combining different data sources for risk estimation
نویسندگان
چکیده
منابع مشابه
Implementing Loss Distribution Approach for Operational Risk
To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Approach. There are many modeling issues that should be resolved to use the approach in practice. In this paper we review the quantitative methods suggested in literature for implementation of the approach. In particular,...
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AND KEYWORDS Abstract In 2004, the Basel Committee on Banking Supervision defined Operational Risk (OR) as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. After publication of the new capital accord containing this dfinition, statistical properties of OR losses have attracted considerable attention in the financial industry si...
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ژورنال
عنوان ژورنال: Journal of Governance and Regulation
سال: 2013
ISSN: 2306-6784,2220-9352
DOI: 10.22495/jgr_v2_i3_p5