A VaR too far? The pricing of operational risk

Rodney Coleman ()
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Rodney Coleman: Imperial College London, Postal: Department of Mathematics , Imperial College London , South Kensington campus , London SW7 2AZ , United Kingdom, http://stats.ma.imperial.ac.uk/~rcoleman

Journal of Financial Transformation, 2010, vol. 28, 123-129

Abstract: This paper is a commentary on current and emerging statistical practices for analysing operational risk losses according to the Advanced Measurement Approaches of Basel II, the New Basel Accord. In particular, the limitations of the ability to model operational risk loss data to obtain high severity quantiles when the sample sizes are small are exposed. The viewpoint is that of a mathematical statistician.

Keywords: Value-at-Risk; Operational risk management; Banking regulation; Statistical analysis of operational risk loss data; Extreme value models (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1420

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