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Operational Risk Modeling: How Far Have We Progressed?
Year Of Publication: 2014
Month Of Publication: May
Pages: 27
Download Count: 28
View Count: 1247
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-18-2014
Publisher: Administrator
Summary
This paper has been written from the perspective of the general insurance industry. It discusses current approaches to the operational risk modelling for capital assessment purposes given the data and modelling techniques available. Our review of current market practice amongst general insurers shows that there are a number of challenges related to operational risk modelling. However, it appears that various data limitations and, in particular, limited historical data are the key factors slowing down the progression of operational risk modelling in practice. While we are of the view that it is possible to model operational risk in a robust and effective manner despite the data limitations, more research in respect of operational risk is required to advance market practice.
Author(s)
Cooper, Ben Sign in to follow this author
Piwcewicz, Bartosz Sign in to follow this author
Warren, Nic Sign in to follow this author
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