Operational risk -- bottom up approach by copulas

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10229334" target="_blank" >RIV/61989100:27510/10:10229334 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Operational risk -- bottom up approach by copulas
Original language description
According to Basel II each entity providing services in the banking industry has to measure credit, market, and operational risk it is exposed to and compare it to the amount of its eligible capital. Moreover, all these types of risk has been recently introduced by Solvency II into the insurance sector. Since the operational risk is a relatively new subject of modeling and measuring, there are still many unanswered questions. Generally, the risk estimation for a complex portfolio (ie. many intersectionsof business lines and risk event types) can be obtained by following a top-down or a bottom-up approach. Notwithstanding, for performance measuring it is important to be able to allocate the available capital for particular units due to its real consumption as given by the true contribution to the overall amount of risk. In this paper we apply the loss distribution approach for the combinations (intersections) of operational risk events types and business lines which we treat as margina
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

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

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