How to Model Operational Risk If You Must

Paul Embrechts ()
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Paul Embrechts: ETH Zurich

A chapter in Operations Research Proceedings 2006, 2007, pp 81-81 from Springer

Abstract: Abstract Both under Solvency 2 and Basel II, operational risk is an important risk category for which the financial industry has to come up with a capital charge. Under Basel II, Operational Risk is defined as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk, but excludes strategic and reputational risk. In this talk I will discuss some of the issues underlying the quantitative modelling of operational risk.

Date: 2007
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DOI: 10.1007/978-3-540-69995-8_13

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