QUANTITATIVE EVALUATION OF OPERATIONAL RISK IN THE FINANCIAL SECTOR

Anton Gerunov

Yearbook of the Faculty of Economics and Business Administration, Sofia University, 2021, vol. 20, issue 1, 37-56

Abstract: The article presents foundational definitions of operational risk and outlines methods for its evaluation in the financial sector. We review the basic, standardized and advanced risk indicators. These are contextually situated and critically evaluated. A Monte Carlo approach to estimating key risk indicators is presented and further elaborated upon. The article concludes with a critical evaluation of the approaches presented and outlines the main challenges to their practical implementation.

Keywords: risk management; operational risk; quantitative evaluation; value at risk; expected tail loss (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:sko:yrbook:v:20:y:2021:i:1:p:37-56

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