Towards Operational Risk Management

Operational Risk Modelling and Analysis: Theory and Practice, Risk Books, Risk Publications. Ed. Marcelo Cruz (2004)

Posted: 28 Mar 2013

Date Written: March 25, 2004

Abstract

The New Basel Capital Accord presents a framework for measuring operational risk which includes four degrees of complexity. In this paper we focus on a mathematical description of the Loss Distribution Approach (LDA), being the more rigorous and potentially more accurate approach towards which most (advanced) institutions will be striving. In particular the aim of this paper is to show how a basic quantitative interpretation of LDA, focusing on the mere numerical measurement of operational risk, may be generalized to include factors of some practical importance. These include; endogenization of the operational risk event via the concept of key risk driver, a flexible co-dependence structure and a clear statement of the objective and scope of the operational risk manager.

Keywords: Operational risk, Loss distribution approach

Suggested Citation

Skoglund, Jimmy and Nyström, Kaj, Towards Operational Risk Management (March 25, 2004). Operational Risk Modelling and Analysis: Theory and Practice, Risk Books, Risk Publications. Ed. Marcelo Cruz (2004), Available at SSRN: https://ssrn.com/abstract=2239017

Jimmy Skoglund (Contact Author)

SAS Institute Inc. ( email )

100 SAS Campus Drive
Cary, NC 27513-2414
United States

Kaj Nyström

University of Umea ( email )

Samhallsvetarhuset, Plan 2
Umea University
Umeå, SE 901 87
Sweden

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
317
PlumX Metrics