Operational risk -- bottom up approach by copulas

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Operational risk -- bottom up approach by copulas

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Operational risk -- bottom up approach by copulas

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Aplikace komplexních Lévyho procesů při modelování vývoje cen finančních aktiv</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics 2010

ISBN

978-80-7394-218-2

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

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Název nakladatele

University of South Bohemia

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

8. 9. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000287979900042