Implication of alternative operational risk modeling techniques
By: Patrick de Fontnouvelle, John Jordan, Eric Rosengren.
Contributors: Jordan, John S.; Rosengren, Eric S.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 11103.; Working paper series (National Bureau of Economic Research) -- working paper no. 11103.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 30
Subjects: Banks and banking -- Econometric models
Description: "Quantification of operational risk has received increased attention with the inclusion of an explicit capital charge for operational risk under the new Basle proposal. The proposal provides significant flexibility for banks to use internal models to estimate their operational risk, and the associated capital needed for unexpected losses. Most banks have used variants of value at risk models that estimate frequency, severity, and loss distributions. This paper examines the empirical regularities in operational loss data. Using loss data from six large internationally active banking institutions, we find that loss data by event types are quite similar across institutions. Furthermore, our results are consistent with economic capital numbers disclosed by some large banks, and also with the results of studies modeling losses using publicly available "external" loss data"--National Bureau of Economic Research web site.
Notes: "February 2005."

Includes bibliographical references (p. 29-30).

Also available in PDF from the NBER world wide web site (www.nber.org).