Computation of Operational Risk for Financial Institutions
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References listed on IDEAS
- Dominique Guegan & Bertrand Hassani & Cédric Naud, 2010.
"An efficient threshold choice for operational risk capital computation,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
- Dominique Guegan & Bertrand Hassani & Cédric Naud, 2010. "An efficient threshold choice for operational risk capital computation," Documents de travail du Centre d'Economie de la Sorbonne 10096, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2011.
- Dominique Guegan & Bertrand Hassani & Cédric Naud, 2011. "An efficient threshold choice for operational risk capital computation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00790217, HAL.
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More about this item
Keywordsoperational risk; advanced measurement approaches; loss distribution approach; Monte Carlo simulation; variance reduction;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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