A review of the state of the art in quantifying operational risk

Sonia Benito and Carmen López Martín

Journal of Operational Risk

Abstract: In this paper, we provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach. We highlight their relative strengths and weaknesses. In the case of the actuarial approach – that most commonly used by financial institutions – we review the challenges faced (scarcity of data, truncated data, and modeling dependence in both frequency and severity) and offer proposals to overcome them. Our paper’s objective is to provide financial risk researchers with all of the models and proposed developments for operational risk estimation.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-operational-risk/6 ... ing-operational-risk (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:journ3:6184706

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 ().