Basel II and Operational Risk: Implications for risk measurement and management in the financial sector
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References listed on IDEAS
- anonymous, 2001. "Guidance on risk management of leveraged financing," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue jun, pages 413-414.
- Klugman, Stuart A. & Parsa, Rahul, 1999. "Fitting bivariate loss distributions with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 139-148, March.
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- Financial Systems and Bank Examination Department, 2007. "The Effect of the Choice of the Loss Severity Distribution and the Parameter Estimation Method on Operational Risk Measurement - Analysis Using Sample Data -," Bank of Japan Research Papers 2007-12-26, Bank of Japan.
- Helder Ferreira de Mendonça & Délio José Cordeiro Galvão & Renato Falci Villela Loures, 2010. "Estimation of Economic Capital Concerning Operational Risk in a Brazilian Banking Industry Case," Working Papers Series 213, Central Bank of Brazil, Research Department.
- George VAN GASTEL & FranÃ§ois COPPENS & Hilde MEERSMAN & Nathalie SELLEKAERTS & Eddy VAN DE VOORDE & Thierry VANELSLANDER & Ann VERHETSEL, "undated". "Economic Impact of Port Activity: A Disaggregate Analysis. The Case of Antwerp," Regional and Urban Modeling 284100044, EcoMod.
- Geert Langenus, 2006. "Fiscal sustainability indicators and policy design in the face of ageing," Working Paper Research 102, National Bank of Belgium.
More about this item
Keywordsoperational risk management; basel II; advanced measurement approach; copulae; external data; EVT; RAROC; cost-benefit analysis.;
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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