Technical paper/Operational risk data
Scaling operational loss data and its systemic risk implications
A scaling methodology to include external data in operational risk calculation is introduced
The mutual-information-based variance–covariance approach: an application to operational risk aggregation in Chinese banking
A simple model for pseudo-nonstationarity in operational risk loss data due to interest rate dependency and reporting threshold
Quantile distance estimation for operational risk: a practical application
Creating an op risk loss-collection framework
To meet the Basel II advanced measurement requirements and improve op risk management, firms must establish robust loss databases. Ulrich Anders and Jürgen Platz of Dresdner Bank in Frankfurt outline such a framework.