Abstract
Both under Solvency 2 and Basel II, operational risk is an important risk category for which the financial industry has to come up with a capital charge. Under Basel II, Operational Risk is defined as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk, but excludes strategic and reputational risk. In this talk I will discuss some of the issues underlying the quantitative modelling of operational risk.
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References
McNeil, A., Frey, R. and Embrechts, P. Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, 2005.
Neslehova, J., Embrechts, P. and Chavez-Demoulin, V. Some issues underlying the AMA modeling of operational risk, ETH Zurich, preprint, 2006.
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© 2007 Springer-Verlag Berlin Heidelberg
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Embrechts, P. (2007). How to Model Operational Risk If You Must. In: Waldmann, KH., Stocker, U.M. (eds) Operations Research Proceedings 2006. Operations Research Proceedings, vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69995-8_13
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DOI: https://doi.org/10.1007/978-3-540-69995-8_13
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-69994-1
Online ISBN: 978-3-540-69995-8
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