Search Results - subject:"Loss Distribution Approach"

Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk

Fantazzini, Dean - In: Applied Econometrics 11 (2008) 3, pp. 87-122

We continue publishing the four-part consultation of professor of Moscow School of Economics of Lomonosov MSU Dean Fantazzini. The first part, that appeared in 2 (10), 2008 of the journal, dealt with the introduction to the problem (section one: basic concepts and types of financial risks,...

Persistent link: https://www.econbiz.de/10009190191

Operational risk - scenario analysis

Rippel, Milan; Teplý, Petr - 2008

bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach or the …

Persistent link: https://www.econbiz.de/10010322209

Operational Risk - Scenario Analysis

Teply, Petr; Rippel, Milan - Institut ekonomických studií, Univerzita Karlova v Praze - 2008

bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach or the …

Persistent link: https://www.econbiz.de/10005673633

Quantifizierung operationeller Risiken: Der Loss Distribution Approach

Albrecht, Peter; Schwake, Edmund; Winter, Peter - In: German Risk and Insurance Review (GRIR) 3 (2007) 1, pp. 1-45

vor allem der Loss Distribution Approach in der Literatur besondere Beachtung gefunden. Dieser Ansatz hat seine Wurzeln in … Risiken her und gibt einen Überblick über aktuelle Entwicklungen im Rahmen des Loss Distribution Approach. … Loss Distribution Approach. …

Persistent link: https://www.econbiz.de/10010311183

Quantifizierung operationeller Risiken: Der Loss Distribution Approach

Albrecht, Peter; Schwake, Edmund; Winter, Peter - In: German Risk and Insurance Review (GRIR) 3 (2007) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10010984679

Real Output Costs of Financial Crises: a Loss Distribution Approach

Kapp, Daniel; Vega, Marco - Departamento de Economía, Pontificia Universidad … - 2012

Se estudian las pérdidas de PBI a través de países originadas por crisis financieras. Las pérdidas se analizan en términos de frecuencia (número de eventos de pérdida) y severidad (monto de pérdida por cada evento). Se utiliza el enfoque de densidad total de las perdidas (enfoque LDA por...

Persistent link: https://www.econbiz.de/10010990278

How to back-test operational risk: an empirical basic analysis

Feria-Dominguez, Jose Manuel; Jimenez-Rodriguez, Enrique J. - In: Journal of Financial Transformation 35 (2012), pp. 81-90

) concept to the Loss Distribution Approach (LDA) has been encouraged by the Committee for measuring operational risk. Moreover …

Persistent link: https://www.econbiz.de/10010991645

Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks

Lu, Zhaoyang - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 4, pp. 604-616

In this paper, we explore the loss data collection exercise for operational risk in Chinese commercial banks from 1999 to first half of 2006. Firstly, the above data are bootstrapped to analyze the capital allocation for a medium-scaled commercial bank in China. Secondly, for every selected...

Persistent link: https://www.econbiz.de/10010751770

Operational–risk Dependencies and the Determination of Risk Capital

Mittnik, Stefan; Paterlini, Sandra; Yener, Tina - Dipartimento di Economia "Marco Biagi", Università … - 2011

risk. In this paper, we investigate the potential consequences of adopting the restrictive Basel’s Loss Distribution … Approach (LDA), as compared to strategies that take dependencies explicitly into account. Drawing on a real–world database, we …

Persistent link: https://www.econbiz.de/10009283206

Approximation of aggregate and extremal losses within the very heavy tails framework

Mitov, Ivan; Rachev, Svetlozar; Fabozzi, Frank - In: Quantitative Finance 10 (2010) 10, pp. 1153-1162

The loss distribution approach is one of the three advanced measurement approaches to the Pillar I modeling proposed by …

Persistent link: https://www.econbiz.de/10008675046