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

operational sign in to follow this
AMA sign in to follow this
capital sign in to follow this
Basel sign in to follow this
EVT sign in to follow this
extreme sign in to follow this
value sign in to follow this

VaR Uses sign in to follow this
--Operational Risk sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
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
View Count:
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 8-4-2007
Publisher: Administrator
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.
Afambo, Edoh F. Sign in to follow this author
This document's citation network:
Similar Documents:
Documents cited in this work:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile