Modelling Operational Risk

Topics:
Commercial Banking,
Risk Analysis and Management
Tags:
ETH Zurich,
Management,
Risk,
Security,
Strategy
Source:
ETH Zurich

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Overview: The Basel Committee on Banking Supervision ("the Committee") released a consultative document that included a regulatory capital charge for operational risk. The complexity of the object "operational risk" led from the time of the document's release to vigorous and recurring discussions. This paper shows that for a production unit of a bank with well-defined workflow processes where a comprehensive self-assessment based on six risk factors has been carried out, operational risk can be unambiguously defined and modelled. Using techniques from extreme value theory, this paper calculates risk measures for independent and dependent risk factors, respectively.

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Format: PDF | Size: 324KB | Date: Dec 2001 | Pages: 23

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