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Issues in Operational Risk Capital Modeling
Company: McGill University
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: October
Pages: 51
Download Count: 25
View Count: 1580
Comment Num: 0
Language: English
Who Can Read: Free
Date: 6-1-2010
Publisher: Administrator
Summary
In an effort to bolster soundness standards in banking, the 2006 international regulatory agreement of Basel II requires globally active banks to include operational risk in estimating regulatory and economic capital to be held against major types of risk. This paper discusses practical issues faced by a bank in designing and implementing an operational risk capital model. Focusing on the use of the Loss Distribution Approach (LDA) in the context of the Basel Advanced Measurement Approach (AMA), pertinent topics of future research are suggested.
This document is published in Journal of Operational Risk (volume 5, number 3) 2010, 37-66.
Author(s)
Chaudhury, Mo Sign in to follow this author
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