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Empirical Examination of Operational Loss Distributions
Year Of Publication: 2005
Month Of Publication: July
Pages: 23
Download Count: 8
View Count: 1994
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-18-2010
Publisher: Administrator
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.
Rachev, Svetlozar Sign in to follow this author
Chernobai, Anna Sign in to follow this author
Menn, Christian Sign in to follow this author
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