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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	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.
Classification:	G00 - Financial Economics. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	BASE

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