Analytical and numerical approach to corporate operational risk modelling
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.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://prac.im.pwr.wroc.pl/~hugo
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Krzysztof Burnecki & Marek Teuerle, 2010. "Ruin Probability in Finite Time," HSC Research Reports HSC/10/04, Hugo Steinhaus Center, Wroclaw University of Technology.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:wuu:wpaper:hsc0603. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron)
If references are entirely missing, you can add them using this form.