On the impact of distributional assumptions for operational risk modelling

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F19%3A10242951" target="_blank" >RIV/61989100:27510/19:10242951 - isvavai.cz</a>

Result on the web

<a href="https://www.teknoscienze.com/tks_article/on-the-impact-of-distributional-assumptions-for-operational-risk-modelling/" target="_blank" >https://www.teknoscienze.com/tks_article/on-the-impact-of-distributional-assumptions-for-operational-risk-modelling/</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

On the impact of distributional assumptions for operational risk modelling

Original language description

Operational risk modelling is one of the most challenging risk types due to its serious impact on the health of financial institutions as well as lack of data leading to modelling difficulties. It follows that it is quite hard to get reliable estimate of the probability distribution of risk events, as concerns both, the frequencies and the severity, and simultaneously, there is a need to estimate the risk levels in the tails. In this paper we focus on the case of one financial institution with rather insufficient databases of risk events and try to estimate the risk (in terms of VaR and cVaR) using various kinds of Lévy models. The results show that there can be quite significant differences among weekly- and monthly-aggregated data especially in the tails, though rather simplifying Gaussian distribution does not strongly differ from theoretically more appropriate gamma or Weibull distributions. (C) 2019 TeknoScienze. All rights reserved.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

50200 - Economics and Business

Project

<a href="/en/project/GA13-13142S" target="_blank" >GA13-13142S: Verification of suitability of particular Lévy models for selected issues of financial modeling</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2019

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Chimica Oggi

ISSN

0392-839X

e-ISSN

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Volume of the periodical

37

Issue of the periodical within the volume

1

Country of publishing house

IT - ITALY

Number of pages

5

Pages from-to

39-43

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85072394742