搜索结果: 1-15 共查到“经济学 operational risk”相关记录16条 . 查询时间(0.08 秒)
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses an...
Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
Sensitivity Analysis Quantitative Operational Risk Management Value at Risk
2011/7/22
Abstract: We study the asymptotic behaviour of the difference between the Value at Risks VaR(L) and VaR(L+S) for heavy tailed random variables L and S as an application to the sensitivity analysis of ...
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/23
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9% quantile of the respective loss distribution, covering unexpected severe events. The 99.9% quantile i...
Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?
Operational Risk Loss Distributional Approach Insurance Mitigation
2010/10/22
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper stud...
We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found to be robust against...
Implementing Loss Distribution Approach for Operational Risk
operational risk loss distribution approach Bayesian inference dependence modeling
2010/10/29
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 ma...
The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
operational risk loss distribution approach Bayesian inference
2010/10/29
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches,
the bank’s internal model must include the use of internal data, relevant external data,
scenario analysis and f...
A Bayesian Networks Approach to Operational Risk
Operational Risk Complex Systems Bayesian Networks Time Series Value-at-Risk
2010/11/1
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using...
Modeling operational risk data reported above a time-varying threshold
dependence modelling copula, compound process operational risk,Bayesian inference Markov chain Monte Carlo Slice sampling
2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
Dynamic operational risk: modeling dependence and combining different sources of information
dependence modelling copula compound process operational risk Bayesian inference Markov chain Monte Carlo Slice sampling
2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
Operational risk in current assets investment decisions: Portfolio management approach in accounts receivable
accounts receivable trade credit management incremental analysis value based management portfolio analysis
2014/3/10
The basic financial purpose of an enterprise is maximization of its value. Trade credit management should also contribute to the realization of this fundamental aim. Many of the current asset manageme...
Estimation of Operational Risk Capital Charge under Parameter Uncertainty
quantitative risk management operational risk loss distribution approach
2010/10/29
Many banks adopt the Loss Distribution Approach to quantify the operational risk capital
charge under Basel II requirements. It is common practice to estimate the capital charge
using the 0.999 quan...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
Quantification Operational Risk Internal Data
2010/10/29
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions.