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Analytical and numerical approach to corporate operational risk modelling

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  • Pawel Mista

Abstract

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.

Suggested Citation

  • Pawel Mista, 2006. "Analytical and numerical approach to corporate operational risk modelling," HSC Research Reports HSC/06/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    • Handle: RePEc:wuu:wpaper:hsc0603
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_06_03.pdf
    File Function: Final version, August 2006
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    References listed on IDEAS

    as
    1. Jacques Pezier, 2002. "Operational Risk Management," ICMA Centre Discussion Papers in Finance icma-dp2002-21, Henley Business School, University of Reading.
    2. Usábel, M., 2001. "Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes," ASTIN Bulletin, Cambridge University Press, vol. 31(1), pages 59-79, May.
    3. Lima, Fátima D.P. & Garcia, Jorge M.A. & Egídio Dos Reis, Alfredo D., 2002. "Fourier/Laplace Transforms and Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 91-105, May.
    4. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook0501, December.
    5. Bühlmann, Hans, 1985. "Premium Calculation from Top Down," ASTIN Bulletin, Cambridge University Press, vol. 15(2), pages 89-101, November.
    6. Thorin, Olof & Wikstad, Nils, 1977. "Calculation of Ruin Probabilities when the Claim Distribution is Lognormal," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 231-246, January.
    7. 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.
    8. Wikstad, Nils, 1971. "Exemplification of Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 6(2), pages 147-152, December.
    9. Dufresne, François & Gerber, Hans U., 1989. "Three Methods to Calculate the Probability of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 19(1), pages 71-90, April.
    10. Jacobsen, Martin, 2003. "Martingales and the distribution of the time to ruin," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 29-51, September.
    11. Krzysztof Burnecki & Marek Teuerle, 2010. "Ruin Probability in Finite Time," HSC Research Reports HSC/10/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    12. Chavez-Demoulin, V. & Embrechts, P. & Neslehova, J., 2006. "Quantitative models for operational risk: Extremes, dependence and aggregation," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2635-2658, October.
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    More about this item

    Keywords

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    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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