Operational Risk and Economic Capital Modeling

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F10%3A39882590" target="_blank" >RIV/00216275:25410/10:39882590 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/10:10118948
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Operational Risk and Economic Capital Modeling
Original language description
In this paper we calculate capital requirement for operational risk for one of the biggest Czech banks. We have utilized two main approaches described in the literature: the Loss Distribution Approach and Extreme Value Theory, in which we have used two estimation methods - the standard maximum likelihood estimation method and the probability weighted moments (PWM). Our results proved a heavy-tailed pattern of operational risk data as documented by many researchers. Additionally, our research showed thatthe PWM is quite consistent when the data is limited as it was able to provide reasonable and consistent capital estimates. From a policy perspective it should be hence noted that banks from emerging markets such as the Central Europe are also able to register operational risk events and the distribution of these risk events can be estimated with a similar success than those from more mature markets.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 2010 International Conference on Business, Economics and Tourism Management
ISBN
978-1-84626-026-1
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
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Publisher name
World Academic Press
Place of publication
Liverpool
Event location
Singapore
Event date
Feb 26, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000284085200015

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