Enrique, Navarrete (2006): Practical Calculation of Expected and Unexpected Losses in Operational Risk by Simulation Methods. Published in: Banca & Finanzas: Documentos de Trabajo , Vol. I, No. 1 (October 2006): pp. 1-12.
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This paper explores the difficulties involved in quantitative measurement of operational risk and proposes simulation methods as a practical solution to obtain the distribution of total losses. It also introduces an example of the estimation of expected and unexpected losses, as well as Value-at-Risk (VaR), arising from operational risk.
|Item Type:||MPRA Paper|
|Institution:||Centro de Investigaciones Económicas Nacionales|
|Original Title:||Practical Calculation of Expected and Unexpected Losses in Operational Risk by Simulation Methods|
|Keywords:||Operational risk; loss distribution; Value-at-Risk (VaR); simulation methods; Basel II|
|Subjects:||G - Financial Economics > G0 - General > G00 - General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
|Depositing User:||Mario Cuevas|
|Date Deposited:||15. Jan 2007|
|Last Modified:||12. Feb 2013 20:35|
Basel Committee on Banking Supervision, BCBS (2004), “International Convergence of Capital Measurement and Capital Standards. A Revised Framework”, June 2004.