AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 07/239.
Date of creation: 01 Oct 2007
Date of revision:
Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-01 (All new papers)
- NEP-BAN-2008-03-01 (Banking)
- NEP-RMG-2008-03-01 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2007. "Implications of Alternative Operational Risk Modeling Techniques," NBER Chapters, National Bureau of Economic Research, Inc, in: The Risks of Financial Institutions, pages 475-512 National Bureau of Economic Research, Inc.
- Patrick de Fontnouvelle & John Jordan & Eric Rosengren, 2005. "Implications of Alternative Operational Risk Modeling Techniques," NBER Working Papers 11103, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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.
- Collier, Benjamin & Katchova, Ani L. & Skees, Jerry R., 2010. "Loan Portfolio Performance and El Niño, an Intervention Analysis," 2010 Annual Meeting, February 6-9, 2010, Orlando, Florida, Southern Agricultural Economics Association 56217, Southern Agricultural Economics Association.
- Andreas A. Jobst & Dale F. Gray, 2013. "Systemic Contingent Claims Analysis," IMF Working Papers 13/54, International Monetary Fund.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).
If references are entirely missing, you can add them using this form.