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Operational Risk Modelling: Focus on the Loss Distribution and Scenario-Based Approaches

In: Operational Risk Management in Banks

Author

Listed:
  • Giuliana Birindelli

    (“G. d’Annunzio” University of Chieti-Pescara)

  • Paola Ferretti

    (University of Pisa)

Abstract

The degree of flexibility that banks have had in operational risk modellingOperational risk modelling has fostered over the years the development of a variety of methods. Currently, these may be related to two categories, namely the loss distribution approach and the scenario-based approach. This chapter aims at analysing the specific features of both the methodologies, highlighting strengths and weaknesses of each one. As it is not possible to state which approach is the best in absolute terms, according to the best practices, the combined use could be the preferable choice.

Suggested Citation

  • Giuliana Birindelli & Paola Ferretti, 2017. "Operational Risk Modelling: Focus on the Loss Distribution and Scenario-Based Approaches," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Operational Risk Management in Banks, chapter 0, pages 133-167, Palgrave Macmillan.
  • Handle: RePEc:pal:pmschp:978-1-137-59452-5_6
    DOI: 10.1057/978-1-137-59452-5_6
    as

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