Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

operational sign in to follow this
data sign in to follow this
loss sign in to follow this
LDA sign in to follow this
Categories:

VaR Uses sign in to follow this
--Operational Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Sources of Uncertainty in Modelling Operational Risk Losses
Year Of Publication: 2006
Month Of Publication: March
Pages: 19
Download Count: 801
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 3-30-2006
Publisher: Administrator
Summary
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.
Author(s)
Mignola, Giulio Sign in to follow this author
Ugoccioni, Roberto Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile