Advances in Risk Management

xx NOTES ON THE CONTRIBUTORS finance department of MIT’s Sloan School of Management, and the statistics department of the Univer ...

Introduction Chapter 1 examines the estimation of operational risk exposure of financial institutions, and its dependence on the ...

xxii INTRODUCTION situations to manage market and yield curve risks. After showing how to immunize a bond portfolio with bond op ...

INTRODUCTION xxiii it also has some drawbacks, such as the creation of a new type of risk called model risk. The latter arises a ...

xxiv INTRODUCTION Chapter 16 analyses the volatility transmission between the US and Span- ish stock markets using a recent samp ...

CHAPTER 1 Impact of the Collection Threshold on the Determination of the Capital Charge for Operational Risk Yves Crama, Georges ...

2 DETERMINATION OF THE CAPITAL CHARGE FOR OPERATIONAL RISK Basel II leaves the choice between three approaches for quantifying t ...

YVES CRAMA, GEORGES HÜBNER AND JEAN-PHILIPPE PETERS 3 1.2 MEASURING OPERATIONAL RISK 1.2.1 Overview Although the application of ...

4 DETERMINATION OF THE CAPITAL CHARGE FOR OPERATIONAL RISK distribution function (or CDF) associated tof(x;θ). Then, the corresp ...

YVES CRAMA, GEORGES HÜBNER AND JEAN-PHILIPPE PETERS 5 where p∈(0, 1) and r is a positive integer. The relationship between mean ...

6 DETERMINATION OF THE CAPITAL CHARGE FOR OPERATIONAL RISK Table 1.1 Severity distributions Distribution Probability distributio ...

YVES CRAMA, GEORGES HÜBNER AND JEAN-PHILIPPE PETERS 7 (see Fontnouvelle, Rosengren and Jordan, 2004, or Chapelle, Crama, Hübner ...

8 DETERMINATION OF THE CAPITAL CHARGE FOR OPERATIONAL RISK straight line with positive gradient above a certain value, this indi ...

YVES CRAMA, GEORGES HÜBNER AND JEAN-PHILIPPE PETERS 9 For smaller banks, however, fixing a threshold at 10,000 EUR might drastic ...

10 DETERMINATION OF THE CAPITAL CHARGE FOR OPERATIONAL RISK To show how spurious the estimates of the parameters or the goodness ...

YVES CRAMA, GEORGES HÜBNER AND JEAN-PHILIPPE PETERS 11
In Case 3, we also consider losses larger than 1,000, but we adjust the ...

12 DETERMINATION OF THE CAPITAL CHARGE FOR OPERATIONAL RISK 1.4.2 Calibration of AMA First, we consider both business lines with ...

13 25,000 25,000 20,000 15,000 Empirical10,000 5,000 0 2,5005,0007,50010,00012,500 Theoretical 15,00017,50020,00022,500 0 Weibul ...

14 2,500 1,000 0 500 1,0001,5002,0002,5003,0003,5004,0004,5005,0005,5006,0006,5007,000 2,000 3,000 4,000 5,000 0 1,0002,0003,000 ...

15 6 0,25 0,2 0,15 0,1 0,05 0 10 14 18 22 26 30 # of exceedances BL1 MSE 34 38 42 46 50 54 58 10 30 50 70 90 110 130 150 170 190 ...