Mixing internal and external data for managing operational risk

  title={Mixing internal and external data for managing operational risk},
  author={Antoine Frachot and Thierry Roncalli},
  • Antoine Frachot, Thierry Roncalli
  • Published 2002
According to the last proposals by the Basel Committee [1], banks are allowed to use the Advanced Measurement Approaches (AMA) option for the computation of their capital charge covering operational risks. Among these methods, the Loss Distribution Approach (LDA) is the most sophisticated one (see Frachot, Georges and Roncalli [2001] for an extensive presentation of this method). It is also expected to be the most risk sensitive as long as internal data are used in the calibration process and… CONTINUE READING

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Loss Models: From Data to Decisions

  • S. A. Klugman, G.E.H.H. Panjer
  • Willmot
  • 1998

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