Issues in Operational Risk Capital Modeling
McGill University - Desautels Faculty of Management
September 29, 2009
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, G28working papers series
Date posted: September 30, 2009 ; Last revised: January 25, 2010
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 0.422 seconds