Back to Search
Start Over
Cuestiones abiertas en la modelización del riesgo operacional en los acuerdos de Basilea: el umbral de pérdidas y la distribución de severidad.
- Source :
-
Universia Business Review . 2012 3nd Quarter, Issue 35, p78-93. 16p. 4 Color Photographs, 8 Charts. - Publication Year :
- 2012
-
Abstract
- Quantifying capital requirements for operational risk under the Basel Accords remains an open issue in banking practice. In this paper, the impact upon the economic capital of two critical elements when applying advanced approaches (AMA) in the modelling of operational risk, namely, the threshold, and the loss distribution of severity, is analyzed by using a loss database of a Spanish savings bank. This study demonstrates the importance of finding a methodological way to render the various operational risk profiles of financial entities comparable. [ABSTRACT FROM AUTHOR]
Details
- Language :
- Spanish
- ISSN :
- 16985117
- Issue :
- 35
- Database :
- Academic Search Index
- Journal :
- Universia Business Review
- Publication Type :
- Academic Journal
- Accession number :
- 82185211