IDEAS home Printed from https://ideas.repec.org/a/rsk/journ3/2160930.html
   My bibliography  Save this article

The quantification of operational risk using internal data, relevant external data and expert opinion

Author

Listed:
  • Dominik D. Lambrigger, Pavel V. Shevchenko and Mario V. Wüthrich

Abstract

ABSTRACT To quantify an operational risk capital charge under Basel II, many banks adopt a loss distribution approach. Under this approach, quantification of the frequency and severity distributions of operational risk involves the bank’s internal data, expert opinion and relevant external data. In this paper we suggest a new approach, based on a Bayesian inference method, that allows for a combination of these three sources of information to estimate the parameters of the risk frequency and severity distributions.

Suggested Citation

  • Dominik D. Lambrigger, Pavel V. Shevchenko and Mario V. Wüthrich, . "The quantification of operational risk using internal data, relevant external data and expert opinion," Journal of Operational Risk, Journal of Operational Risk.
    • Handle: RePEc:rsk:journ3:2160930
    as

    Download full text from publisher

    File URL: https://www.risk.net/system/files/import/protected/digital_assets/4747/jop_v2n3a1.pdf
    Download Restriction: no
    ---><---

    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:rsk:journ3:2160930. 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: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-operational-risk .

    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.