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Analytical and numerical approach to corporate operational risk modelling

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  • Pawel Mista
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    Abstract

    Although The New Basel Accord gives the methodology for managing operational risk in financial institutions, corporate risk seems not to be recognized enough. In this Ph.D. thesis we make an attempt to put some insight into operational risk measurement in a non-financial corporation. The objective is to apply suitable results from insurance ruin theory to build a framework for measuring corporate operational risk and finding required capital charge.

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_06_03.pdf
    File Function: Final version, August 2006
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    Bibliographic Info

    Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/06/03.

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    Length: 68 pages
    Date of creation: 2006
    Date of revision:
    Handle: RePEc:wuu:wpaper:hsc0603

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    Related research

    Keywords: Corporate risk management; Operational risk; Actuarial risk theory; Ruin probability; Operational reserves;

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    References

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    1. Krzysztof Burnecki & Marek Teuerle, 2010. "Ruin Probability in Finite Time," HSC Research Reports HSC/10/04, Hugo Steinhaus Center, Wroclaw University of Technology.
    2. Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.
    3. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
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