IMF Working Papers

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

By Andreas Jobst

October 1, 2007

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Andreas Jobst. Operational Risk: The Sting is Still in the Tail But the Poison Dependson the Dose, (USA: International Monetary Fund, 2007) accessed October 7, 2024
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.

Subject: Banking, Basel Core Principles, Capital adequacy requirements, Econometric analysis, Estimation techniques, Financial regulation and supervision, National accounts, Operational risk, Personal income

Keywords: Advanced Measurement Approaches (AMA), Basel Committee, Basel Core Principles, Basel II, Capital adequacy requirements, Descriptive statistics, Estimation method, Estimation risk, Estimation techniques, Extreme tail behavior, Extreme value theory, Extreme value theory (EVT), Fat tail behavior, Financial regulation, G-and-h distribution, Generalized extreme value (GEV) distribution, Generalized Pareto distribution (GPD), Global, Gross income, MLE estimation algorithm, New Basel Capital Accord, Operational risk, Peak-over-threshold (POT) method, Percentile level, Personal income, Probability function, Risk estimate, Risk management, Risk measurement, Surface estimation, Threshold quantile, Threshold-quantile surface, Value-at-Risk (VaR), WP

Publication Details

  • Pages:

    72

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2007/239

  • Stock No:

    WPIEA2007239

  • ISBN:

    9781451868036

  • ISSN:

    1018-5941