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Die Anwendung des Verlustverteilungsansatzes zur Quantifizierung operationeller Risiken

In: Operations Research Proceedings 2006

Author

Listed:
  • Frank Beekmann

    (WestLB)

  • Peter Stemper

    (WestLB)

Abstract

Auszug Der vorliegende Beitrag zeigt die in der WestLB angestrebte Anwendung des Verlustverteilungsansatzes, der zur Quantifizierung operationeller Risiken nach der Basel II-Rahmenvereinbarung herangezogen werden kann. Der Verlustverteilungsansatz gehört zur Klasse der fortgeschrittenen Messverfahren für operationelle Risiken und stellt in dieser den in der Bankenlandschaft am weitesten verbreiteten Ansatz dar.

Suggested Citation

  • Frank Beekmann & Peter Stemper, 2007. "Die Anwendung des Verlustverteilungsansatzes zur Quantifizierung operationeller Risiken," Operations Research Proceedings, in: Karl-Heinz Waldmann & Ulrike M. Stocker (ed.), Operations Research Proceedings 2006, pages 453-457, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-69995-8_72
    DOI: 10.1007/978-3-540-69995-8_72
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