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Sources of Uncertainty in Modelling Operational Risk Losses
Year Of Publication: 2006
Month Of Publication: March
Pages: 19
Download Count: 801
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 3-30-2006
Publisher: Administrator
Operational risk quantification techniques have been rapidly evolving since the first attempts in early 2000, when it appeared clearly that this kind of risk would attract a specific capital requirement in the new prudential regulation. The basic component of most models developed by the industry is historical (or scenario) loss data. The modelling techniques used to obtain the risk measures are generally well developed and understood. In this work, assuming a simple but rigourous modelling framework, containing the basic features of the models which are generally observed in the industry, focus will be placed on the uncertainty of the model outputs. The sources of this uncertainty will be analysed in a systematic way.
Mignola, Giulio Sign in to follow this author
Ugoccioni, Roberto Sign in to follow this author
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