IDEAS home Printed from https://ideas.repec.org/a/cup/bracjl/v22y2017i01p68-108_00.html
   My bibliography  Save this article

Good practice guide to setting inputs for operational risk models

Author

Listed:
  • Kelliher, P. O. J.
  • Acharyya, M.
  • Couper, A.
  • Grant, K.
  • Maguire, E.
  • Nicholas, P.
  • Smerald, C.
  • Stevenson, D.
  • Thirlwell, J.
  • Cantle, N.

Abstract

This paper seeks to establish good practice in setting inputs for operational risk models for banks, insurers and other financial service firms. It reviews Basel, Solvency II and other regulatory requirements as well as publicly available literature on operational risk modelling. It recommends a combination of historic loss data and scenario analysis for modelling of individual risks, setting out issues with these data, and outlining good practice for loss data collection and scenario analysis. It recommends the use of expert judgement for setting correlations, and addresses information requirements for risk mitigation allowances and capital allocation, before briefly covering Bayesian network methods for modelling operational risks.

Suggested Citation

  • Kelliher, P. O. J. & Acharyya, M. & Couper, A. & Grant, K. & Maguire, E. & Nicholas, P. & Smerald, C. & Stevenson, D. & Thirlwell, J. & Cantle, N., 2017. "Good practice guide to setting inputs for operational risk models," British Actuarial Journal, Cambridge University Press, vol. 22(1), pages 68-108, March.
    • Handle: RePEc:cup:bracjl:v:22:y:2017:i:01:p:68-108_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1357321716000179/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:bracjl:v:22:y:2017:i:01:p:68-108_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/baj .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.