Black swans and operational risk management
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10049957" target="_blank" >RIV/00216208:11230/10:10049957 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Black swans and operational risk management
Original language description
In this paper the authors also (as in the case of the previous paper) analyse and model real operational data of a anonymous bank from the region of a Central and Eastern Europe. The authors have utilised two approaches currently described in the literature, the LDA approach (Loss distribution approach) and the EVT approach (Extreme value theory). The general contribution of this study is threefold. The first contribution is the presentation of a complete methodology for operational risk management. Banks in our region generally do not possess a methodology to model operational risk since they rely on the competence of their parent companies to calculate operational risk requirement on the consolidated basis of the whole group.
Czech name
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Czech description
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Classification
Type
C - Chapter in a specialist book
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Book/collection name
Advanced measurement techniques for market and operational risk
ISBN
978-80-246-1871-5
Number of pages of the result
25
Pages from-to
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Number of pages of the book
262
Publisher name
Karolinum
Place of publication
Prague
UT code for WoS chapter
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