Modelling macroeconomic e ects and expert judgements in operational risk: a Bayesian approach

Holger Capa Santos (), Marie Kratz () and Franklin Mosquera Munoz
Additional contact information
Holger Capa Santos: Escuela Politecnica Nacional (EPN)
Marie Kratz: ESSEC Business School, Postal: Avenue Bernard Hirsch - B.P. 50105, 95021 CERGY PONTOISE Cedex, FRANCE, http://www.essec.edu
Franklin Mosquera Munoz: Escuela Politecnica Nacional (EPN)

No WP1206, ESSEC Working Papers from ESSEC Research Center, ESSEC Business School

Abstract: This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the distributions of the sources, market risk pro le, experts and operational losses, chosen here at a location parameter. It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wuthrich, and analyses macroeconomic e ects on operational risk. It appears that severities of operational losses are more related to the macroeconomics environment than usually assumed.

Keywords: Basel II; Bayesian inference; Loss distribution approach; Macroeconomics dependence; Operational Risk; Quantitative Risk Management; Solvency 2 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2012-01-01
New Economics Papers: this item is included in nep-ban and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:ebg:essewp:dr-12006

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