@inproceedings{f52f960e36154028b7e72d19a7fd1ba7,
title = "Numerical modelling of operational risks for the banking industry",
abstract = "In Basel II Capital Accord, the Advanced Measurement Approaches (AMA) is stated as one of the pillar stone methods for calculating corporate risk reserves. One of the common yet cumbersome methods is the one known as loss distribution approach. In this article, we present an easy to implement scheme through electronic means and discuss some of the mathematical problems we encountered in the process together with proposed solution methods and further thought on the issues.",
keywords = "Bottom-up approach, Loss distribution, Monte-Carlo simulation, Operational risk",
author = "R. Barreira and T. Pryer and Q. Tang",
year = "2008",
doi = "10.2495/CF080201",
language = "English",
isbn = "9781845641115",
series = "WIT Transactions on Information and Communication Technologies",
pages = "207--216",
booktitle = "Computational Finance and its Applications III",
note = "3rd International Conference on Computational Finance and its Applications, Computational Finance 2008 ; Conference date: 27-05-2008 Through 29-05-2008",
}