Transcription of Loss Distribution Approach for operational risk
{{id}} {{{paragraph}}}
Example: marketing
Loss Distribution Approach for operational risk
loss Distribution Approach for operational risk A. Frachot, P. Georges & T. Roncalli Groupe de Recherche Op erationnelle, Cr edit Lyonnais, FranceFirst version: March 30, 2001 This version: April 25, 2001 AbstractIn this paper, we explore theLoss Distribution Approach (LDA) for computing the capital charge of a bankfor operational risk whereLDArefers to statistical/actuarial methods for modelling the loss this framework, the capital charge is calculated using aValue-at-Riskmeasure. In the first part of thepaper, we give a detailed description of theLDAimplementation and we explain how it could be used foreconomic capital allocation. In the second part of the paper, we compareLDAwith theInternal MeasurementApproach(IMA) proposed by theBasel Committee on Banking Supervisionto calculate regulatory capital foroperational bottom-up internal measurement models which are apparently , we could mapLDAintoIMAand give then some justifications about the choice done byregulators to defineIMA.
Loss Distribution Approach for operational risk For operational risk capital charge, an evolutionary framework of four stages is proposed. The first one,
Loading..
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document:
Related search queries
Capital and operational risks: comparative, Capital and operational risks: comparative analysis of regulatory approaches, Loss Distribution Approach in, INTRODUCTION TO VALUE AT RISK, Operational risk, Risk, Quality Risk Management QRM, Loss, Operational, The ANZ Risk Management Framework, The ecosystem approach