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LDA at Work
Company: Deutsche Bank AG
Year Of Publication: 2006
Month Of Publication: November
Pages: 53
Download Count: 1162
View Count:
Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 11-10-2006
Publisher: Administrator
Summary
The Advanced Measurement Approach in the Basel II Accord permits an unprecedented amount of flexibility in the methodology used to assess OR capital requirements. In this paper, we present the capital model developed at Deutsche Bank and implemented in its official EC process. The model follows the Loss Distribution Approach. Our presentation focuses on the main quantitative components, i.e. use of loss data and scenarios, frequency and severity modelling, dependence concepts, risk mitigation, and capital calculation and allocation. We conclude with a section on the analysis and validation of LDA models.
This document is published in Journal of Operational Risk (volume 1, number 4), Winter 2006, 49-93.
http://www.risk.net/digital_assets/4715/jop_v1n4a3.pdf
Author(s)
Aue, Falko Sign in to follow this author
Kalkbrener, Michael Sign in to follow this author
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