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Analytical and numerical approach to corporate operational risk modelling

Author

Listed:
  • 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 Technology.
  • Handle: RePEc:wuu:wpaper:hsc0603
    as

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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
    Download Restriction: no

    References listed on IDEAS

    as
    1. Lima, Fátima D.P. & Garcia, Jorge M.A. & Egídio Dos Reis, Alfredo D., 2002. "Fourier/Laplace Transforms and Ruin Probabilities," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 32(01), pages 91-105, May.
    2. 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.
    3. 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.
    4. Krzysztof Burnecki & Marek Teuerle, 2010. "Ruin Probability in Finite Time," HSC Research Reports HSC/10/04, Hugo Steinhaus Center, Wroclaw University of Technology.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Corporate risk management; Operational risk; Actuarial risk theory; Ruin probability; Operational reserves;

    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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