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Understanding Operational Risk Capital Approximations: First and Second Orders
Basel II/III Capital Approximation Loss Distributional Approach Capital Approximation Value-at-Risk Expected Shortfall Spectral Risk Measure Subexponential Regularly Varying
2013/5/2
We set the context for capital approximation within the framework of the Basel II / III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take effect. ...
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/25
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
