Operational Risk Economic Capital Allocation

被引：7

作者：

Nikonov, Oleg I. ^{[1
]}

Vlasov, Vladimir E. ^{[1
]}

Medvedeva, Marina A. ^{[1
]}

机构：

[1] Ural Fed Univ, Dept Syst Anal & Decis Making, Ekaterinburg 620000, Russia

来源：

11TH INTERNATIONAL CONFERENCE OF NUMERICAL ANALYSIS AND APPLIED MATHEMATICS 2013, PTS 1 AND 2 (ICNAAM 2013) | 2013年 / 1558卷

关键词：

Economic Capital; Loss Distribution Approach (LDA); Capital Allocation; Risk Adjusted Performance;

D O I：

10.1063/1.4825820

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In the paper we describe a model of operational risk of economic capital estimation and allocation based on Loss Distribution Approach (LDA). Bank's total losses are modeled through Monte-Carlo simulations of its business units' losses. It allows to fairly distributing the corresponding capital between business units in order to assess and manage their risk adjusted performance.

引用

页码：1550 / 1553

页数：4

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