How to Avoid Over-Estimating Capital Charge for Operational Risk?

Nicolas Baud · Antoine Frachot · Thierry Roncalli

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Risk Management in Financial Firms

Abstract

Intense reflections are being conducted at the moment regarding the way to pool heterogeneous data coming from both banks' internal systems and industry-pooled databases. We propose here a sound methodology. As it relies on maximum likelihood principle, it is thus statistically rigorous and should be accepted by supervisors. We believe that it solves the most part of data heterogeneity and scaling issues.

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