Issues in Operational Risk Capital Modeling

51 Pages Posted: 30 Sep 2009 Last revised: 25 Jan 2010

See all articles by Mo Chaudhury

Mo Chaudhury

McGill University - Desautels Faculty of Management

Date Written: 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.

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

JEL Classification: G13, G21, G28

Suggested Citation

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

Mo Chaudhury (Contact Author)

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A 1G5
Canada
(514) 398-5927 (Phone)
(514) 398-3876 (Fax)

HOME PAGE: http://www.mcgill.ca/desautels/mo-chaudhury

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
334
Abstract Views
1,568
rank
113,161
PlumX Metrics