期刊
JOURNAL OF BANKING & FINANCE
卷 32, 期 6, 页码 1049-1061出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jbankfin.2007.09.017
关键词
operational risk; advanced measurement approaches; extreme value theory; RAROC; risk management
This paper analyzes the implications of the advanced measurement approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution, we develop a procedure that addresses the major issues faced by banks in the implementation of the AMA. For each cell, we calibrate two truncated distributions functions, one for normal losses and the other for the extreme losses. In addition, we propose a method to include external data in the framework. We then estimate the impact of operational risk management on bank profitability, through an adapted measure of RAROC. The results suggest that substantial savings can be achieved through active management techniques. (C) 2007 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据