Skip to main content
Fachgebiete
Automobil + Motoren Bauwesen + Immobilien Business IT + Informatik Elektrotechnik + Elektronik Energie + Nachhaltigkeit Finance + Banking Management + Führung Marketing + Vertrieb Maschinenbau + Werkstoffe Versicherung + Risiko
DE
EN
Bücher
Zeitschriften
Themenseiten
Organisationspsychologie Projektmanagement Marketing Smart Manufacturing
Weitere Formate
Podcasts Webinare Technik Webinare Wirtschaft Kongresse Veranstaltungskalender Awards
Jetzt Einzelzugang starten
Zugang für Unternehmen
Referenzkunden
SLX-Digitalkonferenz: Zukunftswerkstatt 2024

Mehr Umsatz mit Top-Kontakten

Am 7. Mai erfahren Sie, wie Vertriebsteams Leadgenerierung, Leadnurturing und Leadstrategien effizient steuern können.
Erweiterte Suche
Anmelden
nach oben
Erschienen in:
Introduction Kapitel lesen Erstes Kapitel lesen

2017 | OriginalPaper | Buchkapitel

6. Operational Risk Modelling: Focus on the Loss Distribution and Scenario-Based Approaches

verfasst von : Giuliana Birindelli, Paola Ferretti

Erschienen in: Operational Risk Management in Banks

Verlag: Palgrave Macmillan UK

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

The degree of flexibility that banks have had in operational risk modelling has fostered over the years the development of a variety of methods. Currently, these may be related to two categories, namely the loss distribution approach and the scenario-based approach. This chapter aims at analysing the specific features of both the methodologies, highlighting strengths and weaknesses of each one. As it is not possible to state which approach is the best in absolute terms, according to the best practices, the combined use could be the preferable choice.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Jetzt informieren
Vorheriges Kapitel Operational Risk Mitigation: Strategies and Tools
Nächstes Kapitel Operational Risk: Evidence from Italian Cooperative Banks
Literatur
Aas, K. 2004. Modeling the dependence structure of financial assets: A survey of four copulas. Note, Norwegian Computing Centre, December.
AG (Advanced Measurement Approaches Group). 2012. Scenario analysis: Part 2: Practices. Industry Position Paper.
Aue, F., and M. Kalkbrener. 2007. LDA at work: Deutsche Bank’s approach to quantifying operational risk. Journal of Operational Risk 1 (4).
Bazzarello, D., and F. Piacenza. 2009. Il loss distribution approach e lo scenario based approach nell’esperienza UniCredit. In Il Rischio operativo nelle banche italiane, ed. G. Birindelli and P. Ferretti. Modelli, gestione e disclosure, Bancaria Editrice, Roma.
BCBS (Basel Committee on Banking Supervision). 2009. Observed range of practice in key elements of Advanced Measurement Approaches (AMA), July.
BCBS (Basel Committee on Banking Supervision). 2011. Operational risk—supervisory guidelines for the Advanced Measurement Approaches, June.
BIS (Bank for International Settlements)-Committee on the Global Financial System. 2005. Stress testing at major financial institutions: Survey results and practice, Basel.
Burt, G., G. Wright, R. Bradfield, G. Cairns, and Heijden K. Vander. 2006. The role of scenario planning in exploring the environment in view of the limitations of PEST and its derivatives. International Studies of Management and Organization 36: 50–76.CrossRef
Chapelle, A., Y. Crama, G. Hubner, and J.P. Peters. 2004. Basel II and Operational Risk: Implications for risk measurement and management in the financial sector, National Bank of Belgium, Working Paper.
Chernobai, A.S., R. Svetlozar, and F.J. Fabozzi. 2005. Composite goodness-of-fit test for left truncated loss samples, Working Paper.
Chernobai, A.S., S.T. Rachev, and F.J. Fabozzi. 2007. Operational risk: A guide to Basel II capital requirements, models and analysis. Willey.
Clemen, R., and C. Fox. 2005. Subjective probability assessment in decision analysis: Partition dependence and bias toward the ignorance prior. Management Science 51 (9): 1417–1432.CrossRef
Demarta, S., and A.J. McNeil. 2005. The t copula and related copulas. International Statistic Review 73 (1).
Dutta, K., and J. Perry. 2013. A Tale of Tails: An empirical analysis of loss distribution models for estimating operational risk capital. Working Paper, Federal Reserve Bank of Boston, No. 6.
Embrechts, P. 2000. Extremes and integrated risk management. Risk Books.
Gregoriou, G.N. 2009. Operational risk toward Basel III. Wiley Finance.
Guray Uner, S. 2008. Loss distribution approach for the operational risk economic capital. SAS Global Forum, Paper 163.
Hosking, J.R.M., and J.R. Wallis. 1987. Parameter and quantile estimation for the generalized Pareto distribution. Technometrics 29 (3).
Jenkinson, D. 2005. The Elicitation of probabilities—a review of the statistical literature’, Bayesian Elicitation of Experts’ Probabilities (BEEP). Working Paper, University of Sheffield, U.K.
Kahneman, D., and A. Tversky. 1974. Judgement under Uncertainty: Heuristics and biases. Science 185: 1124–1131. September.
Laycock, M. 2014. Operational risk quantification: Scenarios. Thomson Reuters Accelus, September.
Lemmi Gigli, N. 2005. Trasferimento del Rischio Operativo. V Convention Aifirm, Convegno Nazionale Risk Management, Ottobre 20–21.
Lubbe, J., and F. Snyman. 2010. The advanced measurement approach for banks. IFC Bulletin, (33), 141–149.
McNeil, A.J., R. Frey, and P. Embrechts. 2005. Quantitative risk management. Princeton series in Finance.
Mignola, G., and R. Ugoccioni. 2005. Tests of extreme value theory. Operational Risk 6 (10).
Moscadelli, M. 2004. The modelling of operational risk experience with the analysis of the data collected by the Basel Committee. Banca d’Italia, Temi di discussione, n. 517.
Oakley, J., and A. O’Hagan. 2004. Probability is perfect, but we can’t elicit it perfectly. Reliability Engineering and System Safety 85: 239–248.CrossRef
OeNB (Oesterreichische Nationalbank), FMA (Austrian Financial Market Authority). 2006. Guidelines on Operational Risk Management.
Rippel, M., and P. Teplý. 2008. Operational Risk—Scenario Analysis, Institute of Economic Studies, Faculty of Social Sciences. Charles University in Prague, IES Working Paper, No 15.
Romano, C. 2002. Calibrating and simulating copula functions: An application to the Italian stock market. Working Paper, 12, Cidem.
Romano, C., and A. Di Clemente. 2003. A copula extreme value theory approach for modeling operational risk. Working Paper.
Savelli, N. 2005. L’approccio attuariale nella valutazione del rischio operativo: il Loss Distribution Approach e l’Extreme Value Theory. Corso di aggiornamento ASSBB—Università Cattolica su Il rischio operativo nelle banche: metodologie di valutazione e strumenti di copertura assicurativa, Milano, 7–8 Giugno.
sbAMA (The scenario-based AMA) (sbAMA) working group (2003) “Scenario-based AMA”, May.
Segal, S. 2011. Corporate value of enterprise risk management. Wiley.
Shih, J., A. Samad-Khan, and P. Medapa. 2000. Is the size of an operational loss related to firm size? Operational Risk January.
Sklar, A. 1959. Fonctions de repartition à n dimensions et leurs marges. Institute de Statistique de l’Université de Paris.
Spetzler, C., and C.S. Von Holstein. 1975. Probability encoding in decision analysis. Management Science 22 (3): 340–357, November.
Watchorn, E. 2007. Applying a structured approach to operational risk scenario analysis in Australia. Information Paper, Australian Prudential Regulation Authority, September.
Metadaten
Titel
Operational Risk Modelling: Focus on the Loss Distribution and Scenario-Based Approaches
verfasst von
Giuliana Birindelli
Paola Ferretti
Copyright-Jahr
2017
Buch
Operational Risk Management in Banks

Print ISBN: 978-1-137-59451-8

Electronic ISBN: 978-1-137-59452-5

Copyright-Jahr: 2017

DOI
https://doi.org/10.1057/978-1-137-59452-5_6