Implementing Basel II Loss Distribution Approach for Operational Risk
Pavel V. Shevchenko
CSIRO Mathematics, Informatics and Statistics
October 21, 2008
To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Approach. There are many modelling issues that should be resolved to use the approach in practice. In this paper we review the quantitative methods suggested in literature for implementation of the approach.
Keywords: operational risk; loss distribution approach; Bayesian inference; Basel II.
JEL Classification: C10, C11, G28working papers series
Date posted: January 22, 2009
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