Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose / Andreas Jobst.

Format:

Book

Government document

Author/Creator:

Jobst, Andreas.

Contributor:

International Monetary Fund. Monetary and Capital Markets Department.

Series:

IMF Working Papers; Working Paper ; No. 2007/239

IMF Working Papers

Language:

English

Subjects (All):

Bank capital--Econometric models.

Bank capital.

Risk--Econometric models.

Risk.

Operational risk.

Physical Description:

1 online resource (74 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2007.

Language Note:

English

Summary:

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.

Contents:

Contents; I. Introduction; A. The Definition of Operational Risk, Operational Risk Measurement, and the Regulatory Framework for Operational Risk Framework For Operational Risk Under the New Basel Capital Accord; B. Literature Review; C. Objective; II. The Use of EVT for Operational Risk Measurement in the Context of the New Basel Capital Accord; III. EVT and Alternative Approaches; D. The Limit Theorem of EVT the Relation Between GEV and GPD; E. Definition and Parametric Specification of GEV; F. Definition and Parametric Specification of GPD

G. Definition and Parametric Estimation of the g-and-h DistributionIV. Data Description; H. Data Generation: Simulation of a Quasi-Empirical Distribution; I. Aggregate Descriptive Statistics; V. Estimation Procedure and Discussion; J. Threshold Diagnostics: Slope of Mean Excess Function (MEF) and Stability of the Tail Index; K. Robustness of GPD Point Estimates to Threshold Choice; L. Backward Induction of the Optimal Threshold Choice; VI. Conclusion; References; Figures; 1. Loss Distribution Approach (LDA) for AMA of Operational Risk; Tables

1. Overview of Operational Risk Measures According to the Basel Committee on Banking Supervision2. Aggregate Operational Risk Losses of U.S. Commercial Banks (Longitudinal); 3. Aggregate Operational Risk Losses of U.S. Commercial Banks (Cross-Sectional); 4. Descriptive Statistics of Simulated Daily Operational Risk Losses (Five-Year Horizon); 5. Descriptive Statistics of Simulated Daily Operational Risk Losses (One-Year Horizon); 6. Descriptives of Simulated Loss Series Based on the Aggregate Loss Statistics (2000-2004)...; 7. Descriptives of Quarterly Aggregates of Simulated Loss Series

2. Upper Tail Graphs of Estimated Shape Parameter for a Continuous Threshold Choice8. Point Estimates of the Empirical, Normal and EVT-Based Distribution (Five-Year Risk Horizon).....; 9. Relative Deviation of Point Estimates of the Empirical, Normal and EVT-Based Distribution (Five-Year Risk Horizon); 10. Point Estimates of the Empirical, Normal and EVT-Based Distribution (One-Year- Risk Horizon)....; 11. Estimated Parameter Values from the Numerical Evaluation of the Tail Behavior; 3. Threshold-Quantile Surface of Operational Risk Event

4. Aggregate Sensitivity of Estimated Upper Tail to the Threshold Choice12. Summary Statistics of the Deviation of Point Estimates from the Actual Upper Tail (Variable Threshold) Choice; 5. Aggregate Sensitivity of Individual Point Estimates to the Percentile Level of Statistical Confidence; 13. Summary Statistics of the Deviation of Point Estimates Around the Actual Upper Tail Quantile (Variable Percentile)...; 6. Single Point Estimate Graphs of GDP-Fitted Distribution (Variable Threshold); 7. Relative Deviation of Point Estimates (Point Estimate Residuals) from the Actual Quantile Level ....

8. Single Point Estimate Graphs of GPD-Fitted Distribution Threshold Upper Tail Graphs

Notes:

"October 2007."

Includes bibliographical references.

Description based on print version record.

ISBN:

9786613821003

9781462395170

1462395171

9781452727912

1452727910

9781282447806

1282447807

9781451912562

1451912560