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

operational risk sign in to follow this
regulatory capital sign in to follow this
stable distributions sign in to follow this
loss data sign in to follow this
Categories:

VaR Uses sign in to follow this
--Operational Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Empirical Examination of Operational Loss Distributions
Year Of Publication: 2005
Month Of Publication: July
Pages: 23
Download Count: 8
View Count: 1894
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-18-2010
Publisher: Administrator
Summary
In Section 2 we give the definition of operational risk and describe the effect of the recent developments in the global financial industry on banks’ exposures to operational risk. The following section, Section 3, will briefly outline the recent requirements set by the Basel Committee regarding the capital charge for operational risk. After that we proceed to Section 4 that presents several alternative models that can be used for operational risk modeling. In Section 5 the class of heavy-tailed Stable distributions and their extensions are defined and reviewed. Section 6 consists of the empirical analysis with real operational risk data. Finally, Section 7 summarizes the findings and discusses
irections for future work.
Author(s)
Rachev, Svetlozar Sign in to follow this author
Chernobai, Anna Sign in to follow this author
Menn, Christian 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?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile