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Loss Distribution Approach in Practice - Thierry …
loss Distribution Approach in Practice Antoine Frachot, Olivier Moudoulaud, Thierry RoncalliGroupe de Recherche Op erationnelle, Cr edit Lyonnais, France This version: May 7, 20031 IntroductionAn intense stream of research has been conducted over the past few years to address issues raised by thepractical implementation of Basel II Advanced Measurement Approaches (AMA) and in particular the LossDistribution Approach (LDA). Indeed, we believe that most of these issues are now sufficiently clarified toallow for a survey on operational risk quantitative techniques.
Loss Distribution Approach in Practice⁄ Antoine Frachot, Olivier Moudoulaud, Thierry Roncalli Groupe de Recherche Op´erationnelle, …
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