Loss Distribution Approach for operational risk ∗

@inproceedings{Frachot2001LossDA,
  title={Loss Distribution Approach for operational risk ∗},
  author={A. Frachot and Patrick Georges and T. Roncalli},
  year={2001}
}
In this paper, we explore the Loss Distribution Approach (LDA) for computing the capital charge of a bank for operational risk where LDA refers to statistical/actuarial methods for modelling the loss distribution. In this framework, the capital charge is calculated using a Value-at-Risk measure. In the first part of the paper, we give a detailed description of the LDA implementation and we explain how it could be used for economic capital allocation. In the second part of the paper, we compare… CONTINUE READING
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