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Trends in Banks Operational Risk Losses
- 1.0370109 - ÚI 2012 US eng C - Conference Paper (international conference)
Jiřina, Marcel
Trends in Banks Operational Risk Losses.
ICBIFE 2011 Discussion Materials. Los ALamitos: IEEE, 2011, s. 1-8.
[ICBIFE 2011. International Conference on Business Intelligence and Financial Engineering. Hong Kong (HK), 12.12.2011-13.12.2011]
R&D Projects: GA MŠMT(CZ) 1M0567
Institutional research plan: CEZ:AV0Z10300504
Keywords : CRD * Basel II Directive * operational risk * risk types * risk classes * loss severity * loss frequency * future losses estimation
Subject RIV: BB - Applied Statistics, Operational Research
In this article we are going to investigate the problem of estimation of operational risk loss for the next period of time. The goal is to use such an estimation in the system of identification, measurement, management and control of operational risk. It can be found that, by using a standard regression model for suitably transformed losses, such estimation is possible, including estimation of probable bounds. The suggested procedure is based on the Basel II Directive (CRD) in the operational risk regulation and control. This procedure is not primarily oriented on risk capital estimate (specifically emphasized in the regulation rules of Basel II), but rather on prediction of risk losses behavior in the next period of time. The example presented here uses data over the period of four years and shows a prediction for the next year.
Permanent Link: http://hdl.handle.net/11104/0204005
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