Standardized Measurement Approach for Operational risk: Pros and Cons
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Ganegoda, Amandha & Evans, John, 2013. "A scaling model for severity of operational losses using generalized additive models for location scale and shape (GAMLSS)," Annals of Actuarial Science, Cambridge University Press, vol. 7(1), pages 61-100, March.
- Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "Dynamic operational risk: modeling dependence and combining different sources of information," Papers 0904.4074, arXiv.org, revised Jul 2009.
- Stasinopoulos, D. Mikis & Rigby, Robert A., 2007. "Generalized Additive Models for Location Scale and Shape (GAMLSS) in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 23(i07).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gareth W. Peters & Pavel V. Shevchenko & Bertrand Hassani & Ariane Chapelle, 2016. "Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?," Papers 1607.02319, arXiv.org, revised Sep 2016.
- Gareth W. Peters & Pavel V. Shevchenko & Bertrand K. Hassani & Ariane Chapelle, 2016. "Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01391091, HAL.
- Gareth W. Peters & Pavel V. Shevchenko & Bertrand K. Hassani & Ariane Chapelle, 2016. "Standardized Measurement Approach for Operational risk: Pros and Cons," Post-Print halshs-01391062, HAL.
- Gareth W. Peters & Pavel V. Shevchenko & Bertrand K. Hassani & Ariane Chapelle, 2016. "Standardized Measurement Approach for Operational risk: Pros and Cons," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01391062, HAL.
- Gareth W. Peters & Pavel V. Shevchenko & Bertrand K. Hassani & Ariane Chapelle, 2016. "Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?," Post-Print halshs-01391091, HAL.
- Gareth W. Peters & Pavel V. Shevchenko & Bertrand K. Hassani & Ariane Chapelle, 2016. "Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?," Documents de travail du Centre d'Economie de la Sorbonne 16065, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Matteo Malavasi & Gareth W. Peters & Pavel V. Shevchenko & Stefan Truck & Jiwook Jang & Georgy Sofronov, 2021. "Cyber Risk Frequency, Severity and Insurance Viability," Papers 2111.03366, arXiv.org, revised Mar 2022.
- Roc'io Paredes & Marco Vega, 2020. "An internal fraud model for operational losses in retail banking," Papers 2002.03235, arXiv.org.
- Klein, Nadja & Denuit, Michel & Lang, Stefan & Kneib, Thomas, 2014. "Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 225-249.
- Malavasi, Matteo & Peters, Gareth W. & Shevchenko, Pavel V. & Trück, Stefan & Jang, Jiwook & Sofronov, Georgy, 2022. "Cyber risk frequency, severity and insurance viability," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 90-114.
- Yixuan Wang & Jianzhu Li & Ping Feng & Rong Hu, 2015. "A Time-Dependent Drought Index for Non-Stationary Precipitation Series," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(15), pages 5631-5647, December.
- Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrand, Jean-Pierre, 2018.
"Designating market maker behaviour in limit order book markets,"
Econometrics and Statistics, Elsevier, vol. 5(C), pages 20-44.
- Efstathios Panayi & Gareth W. Peters & Jon Danielsson & Jean-Pierre Zigrand, 2015. "Designating market maker behaviour in Limit Order Book markets," Papers 1508.04348, arXiv.org.
- Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrandd, Jean-Pierre, 2018. "Designating market maker behaviour in limit order book markets," LSE Research Online Documents on Economics 90424, London School of Economics and Political Science, LSE Library.
- Gauss Cordeiro & Josemar Rodrigues & Mário Castro, 2012. "The exponential COM-Poisson distribution," Statistical Papers, Springer, vol. 53(3), pages 653-664, August.
- Christian Kleiber & Achim Zeileis, 2016.
"Visualizing Count Data Regressions Using Rootograms,"
The American Statistician, Taylor & Francis Journals, vol. 70(3), pages 296-303, July.
- Christian Kleiber & Achim Zeileis, 2014. "Visualizing Count Data Regressions Using Rootograms," Working Papers 2014-20, Faculty of Economics and Statistics, Universität Innsbruck.
- Kleiber, Christian & Zeileis, Achim, 2014. "Visualizing Count Data Regressions Using Rootograms," Working papers 2014/13, Faculty of Business and Economics - University of Basel.
- Peters, Gareth W. & Shevchenko, Pavel V. & Young, Mark & Yip, Wendy, 2011. "Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 565-579.
- Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn, 2013. "A zero-adjusted gamma model for mortgage loan loss given default," International Journal of Forecasting, Elsevier, vol. 29(4), pages 548-562.
- Alexander, Carol & Cordeiro, Gauss M. & Ortega, Edwin M.M. & Sarabia, José María, 2012.
"Generalized beta-generated distributions,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1880-1897.
- Carol Alexander & Jose Maria Sarabia, 2010. "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance icma-dp2010-09, Henley Business School, University of Reading.
- Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José MarÃa Sarabia, 2011. "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance icma-dp2011-05, Henley Business School, University of Reading.
- Pinho, Luis Gustavo B. & Nobre, Juvêncio S. & Singer, Julio M., 2015. "Cook’s distance for generalized linear mixed models," Computational Statistics & Data Analysis, Elsevier, vol. 82(C), pages 126-136.
- Zhang, Peng & Qiu, Zhenguo & Shi, Chengchun, 2016. "simplexreg: an R package for regression analysis of proportional data using the simplex distribution," LSE Research Online Documents on Economics 102115, London School of Economics and Political Science, LSE Library.
- Hofner, Benjamin & Mayr, Andreas & Schmid, Matthias, 2016. "gamboostLSS: An R Package for Model Building and Variable Selection in the GAMLSS Framework," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 74(i01).
More about this item
Keywords
operational risk; standardized measurement approach; loss distribution approach; advanced measurement approach; Basel Committee for Banking Supervision regulations;All these keywords.
JEL classification:
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2016-11-13 (Risk Management)
Statistics
Access and download statisticsCorrections
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:mse:cesdoc:16064. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Lucie Label (email available below). General contact details of provider: https://edirc.repec.org/data/cenp1fr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.