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

operational risk sign in to follow this
regulatory capital sign in to follow this
retail banking sign in to follow this
LDA sign in to follow this
AMA sign in to follow this
data 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
Determining Operational Capital at Risk: An Empirical Application to the Retail Banking
Company: Fundacion de las Cahas de Ahorros
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: January
Pages: 44
Download Count: 13
View Count: 1936
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-11-2010
Publisher: Administrator
In this paper, we conduct an empirical application of the Advanced Measurement Approach (AMA), in particular the Loss Distribution Approach (LDA), to the Spanish retail banking sector for the estimation of Economic Capital for Operational Risk. Our results confirm that the implementation of such advanced approach in credit entities provides a lower consumption of regulatory capital, in comparison with the non-advanced methodologies, such us the Basic Indicator Approach (BIA) and the Standardised Approach (SA). At the same time, by focussing on the LDA model, we also assess the potential impact on the Capital at Risk (CaR) of the probability distribution parametric profile used when modelling the internal operational losses, recorded by the financial entity in its IOLD (Internal Operational Losses Database).
Jiménez-Rodriguez, Enrique José Sign in to follow this author
Martin-Marin, José L. Sign in to follow this author
Feria-Dominguez, José M. 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?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile