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Operational Risk


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  • Andreas Jobst


This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on operational risk based on generalized parametric estimation.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 07/239.

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Length: 72
Date of creation: 01 Oct 2007
Date of revision:
Handle: RePEc:imf:imfwpa:07/239

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Postal: International Monetary Fund, Washington, DC USA
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Keywords: Risk management; Financial risk; Economic models; statistics; banking; estimation method; probability; optimization; skewness; kurtosis; banking supervision; statistic; sample size; bank for international settlements; descriptive statistics; correlation; tier 1 capital; probability density; probability function; sensitivity analysis; banking activities; random variables; federal deposit insurance; random sampling; sampling; estimation bias; sample mean; calibration; banking supervisors; statistical techniques; statistical inference; frequency distribution; deposit insurance; estimation procedure; sample sizes; banking operations; samples; parameter estimation; parameter value; time series; descriptive statistic; estimation technique; normal distribution; bank data; bank regulators; monte carlo simulation; exponential distribution; banking regulators; equation; statistical analysis; maximum likelihood estimator; survey; computation; basel accord; probability density function; capital adequacy; retail banking; statistical estimation; statistician; standard deviation; simulation results; bank assets; bank exposures; rate of change; covariance; multivariate analysis; point processes; bank regulations; random numbers; mathematics; banking regulation; data analysis; confidence intervals; banking systems; stochastic models; banking regulatory agencies; bank management; markov chain; bayesian analysis; insurance premium; simulation process; multivariate distributions; banking business; bank of canada; extrapolation; bootstrap; statistical test; empirical validity; internal control; bank performance; generating function; counting; goodness of fit; banking risks; banking industry; stochastic processes; return on assets; asymptotic distribution; analytical methods; polynomial; bank accounting; bank capital; lognormal distribution; banking law;

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  1. Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2004. "Implications of alternative operational risk modeling techniques," Working Papers, Federal Reserve Bank of Boston 04-9, Federal Reserve Bank of Boston.
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Cited by:
  1. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area 99, Bank of Italy, Economic Research and International Relations Area.
  2. Jobst, Andreas A., 2013. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk," International Review of Financial Analysis, Elsevier, Elsevier, vol. 28(C), pages 112-129.
  3. Benjamin Collier & Ani L. Katchova & Jerry R. Skees, 2011. "Loan portfolio performance and El Niño, an intervention analysis," Agricultural Finance Review, Emerald Group Publishing, Emerald Group Publishing, vol. 71(1), pages 98-119, May.
  4. Andreas A. Jobst & Dale F. Gray, 2013. "Systemic Contingent Claims Analysis," IMF Working Papers 13/54, International Monetary Fund.
  5. Andreas A. Jobst, 2007. "It's all in the data – consistent operational risk measurement and regulation," Journal of Financial Regulation and Compliance, Emerald Group Publishing, Emerald Group Publishing, vol. 15(4), pages 423-449, November.


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