Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose

Author/Editor:

Andreas Jobst

Publication Date:

October 1, 2007

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on operational risk based on generalized parametric estimation.

Series:

Working Paper No. 07/239

Subject:

English

Publication Date:

October 1, 2007

ISBN/ISSN:

9781451868036/1018-5941

Stock No:

WPIEA2007239

Format:

Paper

Pages:

72

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