Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose
This 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.
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- Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2007.
"Implications of Alternative Operational Risk Modeling Techniques,"
NBER Chapters,in: The Risks of Financial Institutions, pages 475-512
National Bureau of Economic Research, Inc.
- Patrick de Fontnouvelle & Eric S. Rosengren & John S. Jordan, 2004. "Implications of alternative operational risk modeling techniques," Working Papers 04-9, Federal Reserve Bank of Boston.
- 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.