Tid: 18 december 2012 kl 13.15-14.00.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Alexander Jöhnemark
Titel: Modeling Operational Risk: a Loss Distribution Approach (Examensarbete - Master thesis)
Abstract The Basel II accord requires banks to put aside a capital buffer against unexpected operational losses, resulting from inadequate or failed internal processes, people and systems or from external events. Under the sophisticated Advanced Measurement Approach banks are given the opportunity to develop their own model to estimate operational risk. This report focus on a loss distribution approach based on a set of real data.
First a comprehensive data analysis was made which suggested that the observations belonged to a heavy tailed distribution. An evaluation of commonly used distributions was performed. The evaluation resulted in the choice of a compound Poisson distribution to model frequency and a piecewise defined distribution with an empirical body and a generalized Pareto tail to model severity. The frequency distribution and the severity distribution define the loss distribution from which Monte Carlo simulations were made in order to estimate the 99.9% quantile, also known as the the regulatory capital.
|Sidansvarig: Filip Lindskog