Analytical and numerical approach to corporate operational risk modelling

Pawel Mista

No HSC/06/03, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

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.

Keywords: Corporate risk management; Operational risk; Actuarial risk theory; Ruin probability; Operational reserves (search for similar items in EconPapers)
JEL-codes: C02 C46 G22 G32 (search for similar items in EconPapers)
Pages: 68 pages
Date: 2006
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