Challenges and pitfalls in measuring operational risk from loss data

Eric W. Cope, Giulio Mignola, Gianluca Antonini and Roberto Ugoccioni

Journal of Operational Risk

Abstract: ABSTRACT Under the advanced measurement approach of the Basel II Accord, banks are required to measure their total annual operational risk exposures at the 99.9th percentile of the loss distribution. We examine the possibility of meeting this measurement standard given the amount of operational loss data that is currently available from either internal or external sources. We also look at some of the difficulties that arise in applying the loss distribution approach to computing operational risk exposures, as well as in validating the capital models. Finding many of these problems insurmountable, we suggest some changes to the regulatory framework that would circumvent these difficulties.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-operational-risk/2 ... -risk-from-loss-data (text/html)

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:rsk:journ3:2160877

Access Statistics for this article

More articles in Journal of Operational Risk from Journal of Operational Risk
Bibliographic data for series maintained by Thomas Paine ().