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Operational Risk and Insurance: Quantitative and Qualitative Aspects
Company: Goethe University Frankfurt
Year Of Publication: 2004
Month Of Publication: April
Pages: 38
Download Count: 933
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 1-18-2006
Publisher: Administrator
Summary
This paper incorporates insurance contracts into an operational risk model basedon idiosyncratic and common shocks. A key feature of the approach is the explicitmodelling of residual risk inherent in insurance contracts, such as counterpartydefault, payment uncertainty and liquidity risk due to delayed payments. Comparedto the standard haircut approach, the net loss distribution exhibits a larger weight onthe tail. Thereby an underestimation of extreme losses and loss clusters is avoided.The difference between the models is statistically significant for the means and the99:9%-quantiles of the distribution.
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Brandts, Silke Sign in to follow this author
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