Using Loss Data to Quantify Operational Risk

@inproceedings{Fontnouvelle2003UsingLD,
  title={Using Loss Data to Quantify Operational Risk},
  author={Patrick de Fontnouvelle and Virginia De Jesus-Rueff and J. Scott Jordan and Eric So Rosengren},
  year={2003}
}
Management and quantification of operational risk has been impeded by the lack of internal or external data on operational losses. We consider newly available data collected from public information sources, and show how such data can be used to quantify operational risk for large internationally active banks. We find that operational losses are an important source of risk for such banks, and that the capital charge for operational risk will often exceed the charge for market risk. Although… CONTINUE READING

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