Chapelle, Ariane; Crama, Yves; Hubner, Georges; … - Nationale Bank van België/Banque national de Belqique (BNB) - 2004
assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the … all business lines and event types. In a second phase, our models are used to estimate the effects of operational risk … management actions on bank profitability, through a measure of RAROC adapted to operational risk. The results suggest that …