Alternative Methods to Operational Risk Management
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F10%3A39882595" target="_blank" >RIV/00216275:25410/10:39882595 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/10:10118943
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
Alternative Methods to Operational Risk Management
Original language description
In this paper we calculate capital requirement for operational risk for one the biggest Czech banks. We have utilized two main approaches desribed 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.
Czech name
—
Czech description
—
Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—
Result continuities
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
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Scientific Papers of the University of Pardubice, Series D, Faculty of Economics and Administration
ISSN
1211-555X
e-ISSN
—
Volume of the periodical
15
Issue of the periodical within the volume
16
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
7
Pages from-to
—
UT code for WoS article
—
EID of the result in the Scopus database
—