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A VaR too far? The pricing of operational risk

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Abstract

This paper is a commentary on current and emerging statistical practices for analysing operational risk losses according to the Advanced Measurement Approaches of Basel II, the New Basel Accord. In particular, the limitations of the ability to model operational risk loss data to obtain high severity quantiles when the sample sizes are small are exposed. The viewpoint is that of a mathematical statistician.

Suggested Citation

  • Coleman, Rodney, 2010. "A VaR too far? The pricing of operational risk," Journal of Financial Transformation, Capco Institute, vol. 28, pages 123-129.
    • Handle: RePEc:ris:jofitr:1420
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    More about this item

    Keywords

    Value-at-Risk; Operational risk management; Banking regulation; Statistical analysis of operational risk loss data; Extreme value models;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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