Advanced Measurement Approach (AMA) for calculating operational risk capital. This paper aims to provide a simple solution to … perhaps the most challenging step of building any capital model for Operational Risk – the integration of internal and …

To meet the Basel II regulatory requirements for the Advanced Measurement Approaches in operational risk, the bank … business environment and internal control systems. One of the unresolved challenges in operational risk is combining of these …

losses, which, however, are typically not taken into account when modeling and assessing operational risk. The aim of this … paper is to fill this gap by assessing the consequences of operational risk for a financial firm including reputational … losses. Toward this end, we extend current operational risk models by incorporating reputation losses. We propose three …

Operational risk is fundamentally different from all other risks taken on by a bank. It is embedded in every activity … varies considerably, operational risk tends to represent about 10-30% of the total risk pie, and has grown rapidly since the … – small changes in the data have dramatic impacts on modeled output – and thus required operational risk capital is unstable …

Measuring correlations among aggregate operational risk losses has a very key impact on calculating regulatory … operational risk capital requirement. In the literature, these correlations are often summarized by their average and exhibit a … distribution could present some noise because of the structure of the data of operational risk losses. Consequently, pair …