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Operational Risk Capital Provisions for Banks and Insurance Companies
Company: Georgia State University
Year Of Publication: 2006
Month Of Publication: June
Pages: 165
Download Count: 410
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 8-4-2007
Publisher: Administrator
Summary
This dissertation investigates the implications of using the AdvancedMeasurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a major risk class because of huge operational losses experienced by many financial firms over the last past decade. Unlikemarket risk, credit risk, and insurance risk, for which firms and scholars have designedefficient methodologies, there are few tools to help analyze and quantify operational risk. The New Basel Revised Framework for International Convergence of CapitalMeasurement and Capital Standards (Basel II) gives substantial flexibility tointernationally active banks to set up their own risk assessment models in the context of the Advanced Measurement Approaches. The AMA developed in this thesis usesactuarial loss models complemented by the extreme value theory to determine theempirical probability distribution function of the overall capital charge in terms ofvarious classes of copulas. Publicly available operational risk loss data set is used for theempirical exercise.
Author(s)
Afambo, Edoh F. Sign in to follow this author
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