*Tid:***14 mars 2005 kl 1515-1600 **

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

*Föredragshållare:***
Babak Soltani.
**

**Titel:** **
Estimating loss distribution for operational risk using internal and
external databases.
(Examensarbete)
**

* Sammanfattning: *
Quantification of operational risk has received increasing
attention under the new Basel proposal. The proposal provides some
possibility for banks to use internal databases to estimate their
operational risk and the associated capital needed for unexpected
losses. It is however accepted that using only internal databases may
not result in an accurate capital charge calculation and internal data
should be supplemented by external data in order to have a data sample
which gives a correct capital charge. Mixing internal data with
external data in a proper way is the object of this thesis which
begins with a short introduction of different approaches for computing
loss distributions. Than a presentation of Credibility theory which
provides the necessary mathematical tools for the mixing process is
submitted. Extreme Value Theory will be presented briefly followed by
testing a popular assumption that under some circumstances make the
mixing process feasible. Finally some results and plots will be
delivered.