How to Avoid Over-Estimating Capital Charge for Operational Risk?

OperationalRisk - Risk's Newsletter, February 2003

10 Pages Posted: 27 Nov 2007

See all articles by Nicolas Baud

Nicolas Baud

affiliation not provided to SSRN

Antoine Frachot

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

Thierry Roncalli

Amundi Asset Management; University of Evry

Abstract

Intense reflections are being conducted at the moment regarding the way to pool heterogeneous data coming from both banks' internal systems and industry-pooled databases. We propose here a sound methodology. As it relies on maximum likelihood principle, it is thus statistically rigorous and should be accepted by supervisors. We believe that it solves the most part of data heterogeneity and scaling issues.

Keywords: Operational risk, capital charge, threshold, conditional distribution, maximum likelihood

JEL Classification: G00

Suggested Citation

Baud, Nicolas and Frachot, Antoine and Roncalli, Thierry, How to Avoid Over-Estimating Capital Charge for Operational Risk?. OperationalRisk - Risk's Newsletter, February 2003. Available at SSRN: https://ssrn.com/abstract=1032591

Nicolas Baud

affiliation not provided to SSRN

No Address Available

Antoine Frachot

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) ( email )

15 Boulevard Gabriel Peri
15 Boulevard Gabriel Peri
Malakoff Cedex, 1 92245
France

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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