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

LDA sign in to follow this
Basel sign in to follow this
II sign in to follow this
operational sign in to follow this
loss sign in to follow this
AMA sign in to follow this
EVT sign in to follow this
extreme sign in to follow this
moral sign in to follow this
hazard 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
A Perfect Storm - Why Are Some Operational Losses Larger than Others?
Year Of Publication: 2006
Month Of Publication: November
Pages: 32
Download Count: 544
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 12-25-2006
Publisher: Administrator
Summary
Under Basel II, so-called Loss Distribution Approaches (LDA) make the assumptions that all loss events are drawn from the same underlying 'model', and can be grouped using the Basel II classification of 'Loss Event Types'. The paper challenges these assumptions, specifically for the cases of the very largest losses, which have been shown to have a disproportionately high impact on quantitative measures resulting in inflated capital calculations. Using published examples, the paper argues that many of the very largest operational risk losses do not fit easily into the very broad 'one size fits all' Basel II event type classification, and, in fact, cut across many of the mandated categories. In statistical terms, these events should properly be considered as 'outliers' that should be removed from statistical analysis of the underlying distribution and addressed using other techniques.
Author(s)
McConnell, P. J. 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