"Quantification of operational risk has received increased attention with the inclusion of an explicit capital charge for operational risk under the new Basle proposal. The proposal provides significant flexibility for banks to use internal models to estimate their operational risk, and the ass...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Fontnouvelle, Patrick de (VerfasserIn), Jordan, John (VerfasserIn), Rosengren, Eric S. (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cambridge, Mass. National Bureau of Economic Research 2005
Schriftenreihe:	National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11103
Schlagworte:	Bank Ökonometrisches Modell Banks and banking > Econometric models
Online-Zugang:	Volltext
Zusammenfassung:	"Quantification of operational risk has received increased attention with the inclusion of an explicit capital charge for operational risk under the new Basle proposal. The proposal provides significant flexibility for banks to use internal models to estimate their operational risk, and the associated capital needed for unexpected losses. Most banks have used variants of value at risk models that estimate frequency, severity, and loss distributions. This paper examines the empirical regularities in operational loss data. Using loss data from six large internationally active banking institutions, we find that loss data by event types are quite similar across institutions. Furthermore, our results are consistent with economic capital numbers disclosed by some large banks, and also with the results of studies modeling losses using publicly available "external" loss data"--National Bureau of Economic Research web site.
Beschreibung:	30, [15] S. graph. Darst.