Operational Risk and Economic Capital Modeling

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/10:10118948

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Operational Risk and Economic Capital Modeling

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Operational Risk and Economic Capital Modeling

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

5

Strana od-do

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Název nakladatele

World Academic Press

Místo vydání

Liverpool

Místo konání akce

Singapore

Datum konání akce

26. 2. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000284085200015