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operational risk sign in to follow this
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Measuring Operational Risk Exposures in Islamic Banking: A Proposed Measurement Approach
Company: Islamic Research and Training Institute
Company Url: Click here to open
Year Of Publication: 2011
Month Of Publication: August
Pages: 36
Download Count: 4
View Count: 1689
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-27-2011
Publisher: Administrator
Summary
The aim of the paper is to propose a model, namely Delta-Gamma Sensitivity Analysis-Extreme Value Theory (DGSA-EVT). DGSA-EVT is a model to measure HF-LS and LF-HS type of operational risks. The first leg of the proposed model, namely DGSA, is a methodology that deals with propagation of errors in the value adding activities which works by using measures of fluctuations in the activities. The sensitivities of the output, hence, are deployed to estimate the performance volatility. Furthermore, the second leg of the proposed model, Extreme Value Theory (EVT), is a technique to cater for an excess operational loss over a defined threshold which is normally characterized by low frequency and high severity (LF-HS) type of loss.
Author(s)
Izhar, Hylmun Sign in to follow this author
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