Issues in Operational Risk Capital Modeling

Chaudhury, Mo

doi:10.2139/ssrn.1480378

Abstract

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Issues in Operational Risk Capital Modeling

Mo Chaudhury

McGill University - Desautels Faculty of Management

September 29, 2009

Abstract:
In an effort to bolster soundness standards in banking, the 2006 international regulatory agreement of Basel II requires globally active banks to include operational risk in estimating regulatory and economic capital to be held against major types of risk. This paper discusses practical issues faced by a bank in designing and implementing an operational risk capital model. Focusing on the use of the Loss Distribution Approach (LDA) in the context of the Basel Advanced Measurement Approach (AMA), pertinent topics of future research are suggested.

Number of Pages in PDF File: 51

Keywords: Operational Risk, Economic Capital, Value at Risk, Basel II, LDA

JEL Classification: G13, G21, G28

working papers series

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Date posted: September 30, 2009 ; Last revised: January 25, 2010

Suggested Citation

Chaudhury, Mo, Issues in Operational Risk Capital Modeling (September 29, 2009). Available at SSRN: http://ssrn.com/abstract=1480378 or http://dx.doi.org/10.2139/ssrn.1480378

Contact Information

Mo Chaudhury (Contact Author)

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada
(514) 398-5927 (Phone)
(514) 398-3876 (Fax)