Munich Personal RePEc Archive

Practical Calculation of Expected and Unexpected Losses in Operational Risk by Simulation Methods

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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Abstract

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.

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