Operational risk modelling
Losses and lawsuits
Loss Database
Operational risk modelling: aggregating loss distributions using copulas
Capturing the dependence structure between business line/risk event types is an extremely important step for any serious attempt to model operational risk. In this article we show how this can be achieved by using a powerful statistical technique known…
Op risk modelling for extremes
Part 2: Statistical methods In this second of two articles, Rodney Coleman, of Imperial College London, continues his demonstration of the uncertainty in measuring operational risk from small samples of loss data.
An advanced model for op risk capital calculation
The Basel II regulators need to develop a comprehensive approach to op risk modelling, says Tony Blunden in his final article on the new capital accord.