Sensitivity analysis of scenario models for operational risk Advanced Measurement Approach

Dinesh Chaudhary

MPRA Paper from University Library of Munich, Germany

Abstract: Scenario Analysis (SA) plays a key role in determination of operational risk capital under Basel II Advanced Measurement Approach. However, operational risk capital based on scenario data may exhibit high sensitivity or wrong-way sensitivity to scenario inputs. In this paper, we first discuss scenario generation using quantile approach and parameter estimation using quantile matching. Then we use single-loss approximation (SLA) to examine sensitivity of scenario based capital to scenario inputs.

Keywords: Operational risk; Sensitivity analysis; Scenario analysis; Advanced Measurement Approach (search for similar items in EconPapers)
JEL-codes: D81 G21 G32 (search for similar items in EconPapers)
Date: 2014-12-29
New Economics Papers: this item is included in nep-ban and nep-rmg
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/60996/1/MPRA_paper_60996.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:60996

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().