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Cuantificación del riesgo operacional mediante modelos de pérdidas agregadas y simulación de Monte Carlo

Author

Listed:
  • Marco Flores

    (Departamento de Ingeniería Eléctrica y Electrónica, Escuela Politécnica del Ejército, Quito, Ecuador)

Abstract

En este actículo se presenta un software diseñado para estimar la dotación de capital por Riesgo Operacional (RO) utilizando modelos de pérdidas agregadas, siguiendo los requerimientos planteados en Basilea II y utilizando el método Monte Carlo para la solución numérica. Este sistema estima y analiza los parámetros de las funciones de frecuencia y severidad para luego simular la distribución por pérdidas agregadas (LDA), y finalmente calcular la dotación de capital. Para validar la propuesta, se incluyen los resultados de varios experimentos de casos simulados y reales, bajo distintas funciones de distribución clásicas.

Suggested Citation

  • Marco Flores, 2013. "Cuantificación del riesgo operacional mediante modelos de pérdidas agregadas y simulación de Monte Carlo," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, vol. 5(1), pages 39-48, Junio.
    • Handle: RePEc:inp:inpana:v:5:y:2013:i:1:p:39-48
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    References listed on IDEAS

    as
    1. Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2007. "Implications of Alternative Operational Risk Modeling Techniques," NBER Chapters, in: The Risks of Financial Institutions, pages 475-505, National Bureau of Economic Research, Inc.
    2. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 207-228, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Riesgo Operacional; Monte Carlo; distribución de pérdidas; Basilea II; VaR; OpVar; software;
    All these keywords.

    JEL classification:

    • A13 - General Economics and Teaching - - General Economics - - - Relation of Economics to Social Values
    • A30 - General Economics and Teaching - - Multisubject Collective Works - - - General

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