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

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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Year of publication:	2006-10
Authors:	Enrique, Navarrete
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Operational risk \| loss distribution \| Value-at-Risk (VaR) \| simulation methods \| Basel II

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Banca & Finanzas: Documentos de Trabajo 1.I(2006): pp. 1-12
Classification:	G00 - Financial Economics. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005836371