Advanced Extremal Models for Operational Risk

Topics:
Risk Analysis and Management
Tags:
Basel II,
ETH Zurich,
Financial Services,
Management,
Risk,
Security,
Strategy
Source:
ETH Zurich

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Overview: Managing risk lies at the heart of the financial services industry. Regulatory frameworks, such as Basel II for banking and Solvency 2 for insurance, mandate a focus on operational risk. A fast growing literature exists on the various aspects of operational risk modelling; see the list of references towards the end of the paper. This paper discusses some of the more recent Extreme Value Theory (EVT) methodology which may be useful towards the statistical analysis of certain types of operational loss data.

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Format: PDF | Size: 112KB | Date: Jun 2004 | Pages: 12

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