Numerical modelling of operational risks for the banking industry

R. Barreira, T. Pryer, Q. Tang

Research output: Chapter or section in a book/report/conference proceedingChapter in a published conference proceeding

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.

Original languageEnglish
Title of host publicationComputational Finance and its Applications III
Pages207-216
Number of pages10
DOIs
Publication statusPublished - 2008
Event3rd International Conference on Computational Finance and its Applications, Computational Finance 2008 - Cadiz, Spain
Duration: 27 May 200829 May 2008

Publication series

NameWIT Transactions on Information and Communication Technologies
Volume41
ISSN (Print)1743-3517

Conference

Conference3rd International Conference on Computational Finance and its Applications, Computational Finance 2008
Country/TerritorySpain
CityCadiz
Period27/05/0829/05/08

Keywords

  • Bottom-up approach
  • Loss distribution
  • Monte-Carlo simulation
  • Operational risk

ASJC Scopus subject areas

  • Management Information Systems
  • Computer Science(all)

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