KTH Matematik  

Matematisk Statistik

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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Sidansvarig: Filip Lindskog
Uppdaterad: 28/02-2008