Modelling Large Losses

Pavel V. Shevchenko ()
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Pavel V. Shevchenko: CSIRO, Mathematics, Informatics and Statistics

Chapter Chapter 6 in Modelling Operational Risk Using Bayesian Inference, 2011, pp 203-233 from Springer

Abstract: Abstract Some operational risk events are rare but may have a major impact on a bank. Limited historical data make quantification of such risks difficult. This chapter discusses Extreme Value Theory that allows analysts to rationally extrapolate to losses beyond those historically observed and to estimate their probability. The chapter also discusses several parametric distributions which have been proposed to model the distribution tail of operational risk losses.

Keywords: Operational Risk; Generalise Extreme Value; Generalise Pareto Distribution; Probability Generate Function; Generalise Extreme Value Distribution (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-15923-7_6

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DOI: 10.1007/978-3-642-15923-7_6

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