A VaR too far? The pricing of operational risk
AbstractThis 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.
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Bibliographic InfoArticle provided by Capco Institute in its journal Journal of Financial Transformation.
Volume (Year): 28 (2010)
Issue (Month): ()
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Value-at-Risk; Operational risk management; Banking regulation; Statistical analysis of operational risk loss data; Extreme value models;
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