Operational Risk: The Sting is Still in the Tail But the Poison Dependson the Dose

Andreas Jobst ()

No 2007/239, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; gross income; estimation method; probability function; descriptive statistics; operational risk; risk management; financial regulation; Basel Committee; Basel II; New Basel Capital Accord; extreme value theory; generalized extreme value (GEV) distribution; extreme value theory (EVT); generalized Pareto distribution (GPD); peak-over-threshold (POT) method; g-and-h distribution; fat tail behavior; extreme tail behavior; Value-at-Risk (VaR); Advanced Measurement Approaches (AMA); risk measurement; percentile level; threshold quantile; risk estimate; surface estimation; threshold-quantile surface; MLE estimation algorithm; estimation risk; Estimation techniques; Capital adequacy requirements; Basel Core Principles; Personal income; Global (search for similar items in EconPapers)
Pages: 72
Date: 2007-10-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Journal Article: Operational risk: the sting is still in the tail but the poison depends on the dose
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