Operational Risk: The Sting is Still in the Tail But the Poison Dependson the Dose
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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. 2007/239
Subject:
Banking Basel Core Principles Capital adequacy requirements Econometric analysis Estimation techniques Financial regulation and supervision National accounts Operational risk Personal income
English
Publication Date:
October 1, 2007
ISBN/ISSN:
9781451868036/1018-5941
Stock No:
WPIEA2007239
Pages:
72
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