Modeling and measuring operational risk

Marcelo G. Cruz · G. R. Salkin

38 citations0/0 files storedThe Journal of Risk

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Probability and Risk Models Financial Risk and Volatility Modeling Risk Management in Financial Firms

Abstract

ABSTRACT Recent operational risk events such as occurred at Barings, Daiwa, Sumitomo, and other institutions show the importance of measuring and controlling such operational risk. In this paper the authors present a quantitative operational risk measurement model based on extreme value theory.

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References

1997Modelling Extremal Events 2000From value at risk to stress testing: The extreme value approach 1997Stochastic time changes in catastrophe option pricing

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2012CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory 2004Operational Risk Management in Financial Services and the New Basel Accord 2007Operational Risk

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