European Parliament Library

Operational Risk :, The Sting is Still in the Tail But the Poison Dependson the Dose, Andreas Jobst

Abstract
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on operational risk based on generalized parametric estimation
Table Of Contents
Contents; I. Introduction; A. The Definition of Operational Risk, Operational Risk Measurement, and the Regulatory Framework for Operational Risk Framework For Operational Risk Under the New Basel Capital Accord; B. Literature Review; C. Objective; II. The Use of EVT for Operational Risk Measurement in the Context of the New Basel Capital Accord; III. EVT and Alternative Approaches; D. The Limit Theorem of EVT the Relation Between GEV and GPD; E. Definition and Parametric Specification of GEV; F. Definition and Parametric Specification of GPD
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (74 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781451912562

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