IDEAS home Printed from https://ideas.repec.org/a/pal/gpprii/v32y2007i2p178-189.html
   My bibliography  Save this article

Using External Data in Operational Risk

Author

Listed:
  • Montserrat Guillen

    (University of Barcelona, Econometrics, RFA-IREA, Diagonal 690, Barcelona E-08034, Spain.)

  • Jim Gustafsson

    (Codan Insurance, Copenhagen, Denmark.)

  • Jens Perch Nielsen

    (University of Copenhagen & Festina Lente, Copenhagen, Denmark.)

  • Paul Pritchard

    (Royal&SunAlliance, London, U.K.)

Abstract

We present a method to combine expert opinion on the likelihood of under-reporting with an operational risk data set. Under-reporting means that not all losses are identified and therefore an incorrect distributional assumption may be made, and ultimately an incorrect assessment made of capital required. Our approach can be applied to help insurers and other financial services companies make better assessments of capital requirements for operational risk using either external or internal sources. We conclude that operational risk capital evaluation can be significantly biased if under-reporting is ignored. The Geneva Papers (2007) 32, 178–189. doi:10.1057/palgrave.gpp.2510129

Suggested Citation

  • Montserrat Guillen & Jim Gustafsson & Jens Perch Nielsen & Paul Pritchard, 2007. "Using External Data in Operational Risk," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 32(2), pages 178-189, April.
    • Handle: RePEc:pal:gpprii:v:32:y:2007:i:2:p:178-189
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/gpp/journal/v32/n2/pdf/2510129a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/gpp/journal/v32/n2/full/2510129a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ramon Alemany & Catalina Bolancé & Montserrat Guillén, 2012. "Nonparametric estimation of Value-at-Risk," Working Papers XREAP2012-19, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2012.
    2. Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch, 2011. "Multivariate density estimation using dimension reducing information and tail flattening transformations," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 99-110, January.
    3. José Ruiz-Canela López, 2021. "How Can Enterprise Risk Management Help in Evaluating the Operational Risks for a Telecommunications Company?," JRFM, MDPI, vol. 14(3), pages 1-26, March.
    4. Amandha Ganegoda & John Evans, 2014. "A framework to manage the measurable, immeasurable and the unidentifiable financial risk," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 5-34, February.
    5. Tine Buch-Kromann & Jens Nielsen, 2012. "Multivariate density estimation using dimension reducing information and tail flattening transformations for truncated or censored data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(1), pages 167-192, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:gpprii:v:32:y:2007:i:2:p:178-189. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.