This paper explores the difficulties involved in quantitative measurement of operational risk and proposes simulation methods as a practical solution to obtain the distribution of total losses. It also introduces an example of the estimation of expected and unexpected losses, as well as Value-at-Risk (VaR), arising from operational risk.
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
1369.
Length: Date of creation: Oct 2006 Date of revision: Publication status: Published in Banca & Finanzas: Documentos de Trabajo 1.I(2006): pp. 1-12 Handle: RePEc:pra:mprapa:1369
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