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The Quantification of Operational Risk
Year Of Publication: 2003
Month Of Publication: November
Pages: 38
Download Count: 12936
View Count: 40487
Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 12-20-2003
Publisher: Administrator
Summary
We examine the quantification of operational risk for banks. We adopt a financial economics approach and interpret operational risk management as a means of optimizing the profitability of an institution along its value chain. We start by defining operational risk and then propose a framework to model risk mitigation through the bank’s value chain over time. Using analytical and numerical methods, we obtain answers concerning capital allocation, network stability, risk figures, and diversification issues. The usual intuition gained from market and credit risk does not apply to the quantification of operational risk.
This document is published in Journal of Risk (volume 8, number 1) Fall 2005.
Author(s)
Leippold, Markus Sign in to follow this author
Vanini, Paolo Sign in to follow this author
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