Estimation of economic capital for operational risk in banking industry: a Brazilian case

Helder de Mendonça (), Delio Jose Cordeiro Galvao and Renato Falci Villela Loures

Applied Economics Letters, 2011, vol. 18, issue 5, 485-491

Abstract: This article presents an analysis for the estimation of economic capital concerning operational risk in a Brazilian banking industry case making use of Markov chains, Extreme Value Theory (EVT) and Peaks Over Threshold (POT) modelling. The findings denote that some existent methods present consistent results among institutions with similar characteristics of loss data.

Date: 2011
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DOI: 10.1080/13504851003724234

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