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How to Model Operational Risk If You Must

In: Operations Research Proceedings 2006

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  • Paul Embrechts

    (ETH Zurich)

Abstract

Both under Solvency 2 and Basel II, operational risk is an important risk category for which the financial industry has to come up with a capital charge. Under Basel II, Operational Risk is defined as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk, but excludes strategic and reputational risk. In this talk I will discuss some of the issues underlying the quantitative modelling of operational risk.

Suggested Citation

  • Paul Embrechts, 2007. "How to Model Operational Risk If You Must," Operations Research Proceedings, in: Karl-Heinz Waldmann & Ulrike M. Stocker (ed.), Operations Research Proceedings 2006, pages 81-81, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-69995-8_13
    DOI: 10.1007/978-3-540-69995-8_13
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