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Empirical Examination of Operational Loss Distributions

In: Perspectives on Operations Research

Author

Listed:
  • Svetlozar T. Rachev

    (Universität Karlsruhe)

  • Anna Chernobai

    (University of Caliornia)

  • Christian Menn

    (Cornell University)

Abstract

Until very recently, it has been believed that banks are exposed to two main types of risks: credit risk (the counterparty failure risk) and market risk (the risk of loss due to changes in market indicators, such as interest rates and exchange rates), in the order of importance. The remaining financial risks have been put in the category of other risks, operational risk being one of them. Recent developments in the financial industry have shown that the importance of operational risk has been largely under-estimated. Newly defined capital requirements set by the Basel Committee for Banking Supervision in 2004, require financial institutions to estimate the capital charge to cover their operational losses [6].

Suggested Citation

  • Svetlozar T. Rachev & Anna Chernobai & Christian Menn, 2006. "Empirical Examination of Operational Loss Distributions," Springer Books, in: Martin Morlock & Christoph Schwindt & Norbert Trautmann & Jürgen Zimmermann (ed.), Perspectives on Operations Research, pages 379-401, Springer.
    • Handle: RePEc:spr:sprchp:978-3-8350-9064-4_21
    DOI: 10.1007/978-3-8350-9064-4_21
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    Cited by:

    1. Ulrik Franke, 2020. "IT service outage cost: case study and implications for cyber insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 45(4), pages 760-784, October.
    2. Sabyasachi Guharay & KC Chang & Jie Xu, 2017. "Robust Estimation of Value-at-Risk through Distribution-Free and Parametric Approaches Using the Joint Severity and Frequency Model: Applications in Financial, Actuarial, and Natural Calamities Domain," Risks, MDPI, vol. 5(3), pages 1-30, July.
    3. Ulrik Franke, 0. "IT service outage cost: case study and implications for cyber insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 0, pages 1-25.

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