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Practical Calculation of Expected and Unexpected Losses in Operational Risk by Simulation Methods

Navarrete Enrique

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores the difficulties involved in quantitative measurement of operational risk and proposes simulation methods as a practical solution to obtain the distribution of total losses. It also introduces an example of the estimation of expected and unexpected losses, as well as Value-at-Risk (VaR), arising from operational risk.

Keywords: Operational risk; loss distribution; Value-at-Risk (VaR); simulation methods; Basel II (search for similar items in EconPapers)
JEL-codes: C15 G00 (search for similar items in EconPapers)
Date: 2006-10
New Economics Papers: this item is included in nep-rmg
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Published in Banca & Finanzas: Documentos de Trabajo 1.I(2006): pp. 1-12

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