Operational risk is an important quantitative topic as a result of the Basel II regulatory requirements. Operational … approach to the modelling of operational risk. Firstly we provide an overview of the Bayesian approach to operational risk … recently developed stochastic sampling techniques and highlight their application to operational risk through the models …

The Advanced Measurement Approach (AMA) to operational risk capital is vulnerable to gaming, complex, and lacks … comparability. The Standardized Measurement Approach (SMA) to operational risk capital lacks risk sensitivity and is unlikely to be …

random variables L and S for application in sensitivity analysis of quantitative operational risk management within the …

We propose a method to consider business cycles in the computation of capital for operational risk. We examine whether …

This work presents a contribution on operational risk under a general Bayesian context incorporating information on … Lambrigger, Shevchenko and Wüthrich, and analyses macroeconomic effects on operational risk. It appears that severities of …

collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been …