*Tid:* **22 december 2008 kl 15.15-16.00 **
*Plats :* **Seminarierummet 3733**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7. Karta!
*Föredragshållare:*
**
Safia Djemili
**
**Titel:**
Estimation of Operational Risk Capital: a Loss Distribution Approach
(Examensarbete - Master thesis)
**Sammanfattning:**
The Basel II accord requires banks to meet a capital requirement for
operational risk. This includes losses due to inadequate internal processes,
people and systems as well as external events. There are three main methods
for calculating capital charge for operational risk of which the Advanced
Measurement Approach is the most sophisticated. This approach gives the bank
flexibility, but it must show that their internal measurement system is
able to produce reasonable estimates of unexpected losses.
In this thesis an exploratory data analysis was done on a set of real data.
The results of these tests indicated a loss distribution with heavy tails.
Together with the Loss Distribution Approach this conclusion was used to
approximate different tail probabilities. These variants were then compared
with a Monte Carlo simulation for different parameter values. Conclusions
from these tests were that the accuracy of the approximations are highly
dependent on the parameter values.
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