KTH"

Tid: 28 februari 2005 kl 1515-1600

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Peter Englund.

Titel: Analysing High Severity Operational Losses. (Examensarbete)

Sammanfattning: New demands from regulators in the banking industry concerning operational risks will affect the capital allocation at a given bank. The revision of the old capital accord is scheduled for 2007. Banks are working hard to collect a sufficient amount of data in order to produce more precise models. They also want to prepare their own risk management system for the new revised accord.

This Master Thesis focuses on existing operational risk literature and presents potential difficulties on the way from operational loss data to a regulatory charge. In particular, the extensive study by Moscadelli is analysed. We perform a simulation study of Extreme Value Theory (EVT) estimators and test the accuracy of findings by Moscadelli. His studies have suggested that the riskiness of the business lines can be captured in a more effective way by setting some regulatory coefficients at a wider range than the current one. Moreover, interesting results on the distributional properties of operational losses are found. We find that the POT method gives accurate risk estimates even for small sample sizes.

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