Challenges and pitfalls in measuring operational risk from loss data

被引：43

作者：

Cope, Eric W. ^{[1
]}

Mignola, Giulio ^{[2
]}

Antonini, Gianluca ^{[1
]}

Ugoccioni, Roberto ^{[2
]}

机构：

[1] IBM Zurich Res Lab, CH-8803 Ruschlikon, Switzerland

[2] Intesa Sanpaolo SPA, I-10122 Turin, Italy

来源：

JOURNAL OF OPERATIONAL RISK | 2009年 / 4卷 / 04期

关键词：

D O I：

10.21314/JOP.2009.069

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Under the advanced measurement approach of the Basel II Accord, banks art required to measure their total annual operational risk exposures at the 99.9th percentile of the loss distribution. We examine the possibility of meeting this measurement standard given the amount of operational loss data that is currently available from either internal or external sources. We also look at some of the difficulties that arise in applying the loss distribution approach to computing operational risk exposures, as well as in validating the capital models. Finding many of these problems insurmountable, we suggest some changes to the regulatory framework that would circumvent these difficulties.

引用

页码：3 / 27

页数：25