Basel II and Operational Risk: Implications for risk measurement and management in the financial sector
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References listed on IDEAS
- Klugman, Stuart A. & Parsa, Rahul, 1999. "Fitting bivariate loss distributions with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 139-148, March.
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Cited by:
- Financial Systems and Bank Examination Department, 2007. "The Effect of the Choice of the Loss Severity Distribution and the Parameter Estimation Method on Operational Risk Measurement - Analysis Using Sample Data -," Bank of Japan Research Papers 2007-12-26, Bank of Japan.
- Ramírez-Cobo, Pepa & Carrizosa, Emilio & Lillo, Rosa E., 2021. "Analysis of an aggregate loss model in a Markov renewal regime," Applied Mathematics and Computation, Elsevier, vol. 396(C).
- Helder Ferreira de Mendonça & Délio José Cordeiro Galvão & Renato Falci Villela Loures, 2010. "Estimation of Economic Capital Concerning Operational Risk in a Brazilian Banking Industry Case," Working Papers Series 213, Central Bank of Brazil, Research Department.
- Dionne, Georges & Dahen, Hela, 2007.
"What about underevaluating operational value at risk in the banking sector?,"
Working Papers
07-5, HEC Montreal, Canada Research Chair in Risk Management.
- Georges Dionne & Hela Dahen, 2007. "What about Underevaluating Operational Value at Risk in the Banking Sector?," Cahiers de recherche 0723, CIRPEE.
- George VAN GASTEL & François COPPENS & Hilde MEERSMAN & Nathalie SELLEKAERTS & Eddy VAN DE VOORDE & Thierry VANELSLANDER & Ann VERHETSEL, 2010. "Economic Impact of Port Activity: A Disaggregate Analysis. The Case of Antwerp," Regional and Urban Modeling 284100044, EcoMod.
- Deepak Tandon & Yogieta S. Mehra, 2017. "Impact of Ownership and Size on Operational Risk Management Practices: A Study of Banks in India," Global Business Review, International Management Institute, vol. 18(3), pages 795-810, June.
- Geert Langenus, 2006. "Fiscal sustainability indicators and policy design in the face of ageing," Working Paper Research 102, National Bank of Belgium.
- Enrique Bonsón & Tomás Escobar & Francisco Flores, 2008. "Operational Risk Measurement in Banking Institutions and Investment Firms: New European Evidences," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 17(4), pages 287-307, November.
- Enrique Bonsón & Tomás Escobar & Francisco Flores, 2007. "Sub‐Optimality of Income Statement‐Based Methods for Measuring Operational Risk under Basel II: Empirical Evidence from Spanish Banks," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 16(4), pages 201-220, November.
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More about this item
Keywords
operational risk management; basel II; advanced measurement approach; copulae; external data; EVT; RAROC; cost-benefit analysis.;All these keywords.
JEL classification:
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ACC-2004-09-30 (Accounting and Auditing)
- NEP-CMP-2004-09-30 (Computational Economics)
- NEP-FIN-2004-09-30 (Finance)
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