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Operational Loss Scaling by Exposure Indicators: Evidence from the ORX Database
Company: IBM Zurich Research Lab
Year Of Publication: 2008
Month Of Publication: October
Pages: 22
Download Count: 14
View Count: 1992
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-4-2010
Publisher: Administrator
We investigate whether the size of operational risk losses can be correlated with geographical
region and ¯rm size. We extend past studies of losses on ¯rm size by applying quantile
regression techniques to obtain a more complete view of scaling relationships across the
loss distribution. Furthermore, we test whether these distributional scaling relations can be
described using simple location-shift or location-scale shift models. In addition, we develop a
novel \quantile matching" algorithm to address statistical issues that arise when estimating
loss scaling models when the data are subjected to a loss reporting threshol
Labbi, Abderrahim Sign in to follow this author
Cope, Eric W. Sign in to follow this author
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