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New Approaches to Operational Risk
Company: IBM Journal of Research and Development
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: July
Resource Link: Click here to open
Pages: 31-39
Download Count: 0
View Count: 901
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-26-2014
Publisher: Administrator
Summary
Operational losses of the financial institution are usually represented as an aggregate sum of the losses incurred by the operational events of the business units. Simulation of these events requires the introduction of a co-dependence structure for a more realistic description of the loss process. In this paper, we discuss some of the approaches to this modeling problem. We propose a semi-analytical framework for evaluating the operational losses and for estimating the economic capital.
(volume 58, number 4)
Author(s)
Duch, Krzysztof Sign in to follow this author
Jiang, Y. Sign in to follow this author
Kreinin, Alex Sign in to follow this author
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