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Implementing loss distribution approach for operational risk

✍ Scribed by Pavel V. Shevchenko

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 249 KB
Volume: 26
Category: Article
ISSN: 1524-1904
DOI: 10.1002/asmb.812

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✦ Synopsis

Abstract

In order 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 this approach in practice. In this paper we review the quantitative methods suggested in the literature for the implementation of the approach. In particular, the use of Bayesian inference that allows one to take expert judgement and parameter uncertainty into account, modeling dependence, and inclusion of insurance are discussed. Copyright © 2009 John Wiley & Sons, Ltd.

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