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Operational Risk Modeling: Theory and Practice
Company: Royal Institute of Technology
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: December
Pages: 76
Download Count: 8
View Count: 1511
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 12-25-2013
Publisher: Administrator
Summary
This thesis studies the Loss Distribution Approach for modeling of Operational Risk under Basel II. Initial analysis supports the use of the Peaks over Threshold method for modeling the severity distributions of individual cells.
Author(s)
Wahlstrom, Johan Sign in to follow this author
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