A "toy" model for operational risk quantification using credibility theory

Hans Bühlmann, Pavel V. Shevchenko and Mario V. Wüthrich

Journal of Operational Risk

Abstract: ABSTRACT To meet the Basel II regulatory requirements for the Advanced Measurement Approaches in operational risk, the bank’s internal model should make use of the internal data, relevant external data, scenario analysis, and factors reflecting the business environment and internal control systems. One of the unresolved challenges in operational risk is combining these data sources appropriately. In this paper we focus on quantification of the low-frequency high-impact losses exceeding some high threshold. We suggest a full credibility theory approach to estimate frequency and severity distributions of these losses by taking into account bank internal data, expert opinions and industry data.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-operational-risk/2 ... g-credibility-theory (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:journ3:2160893

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 ().