The lecture Key Issues in Operational Risk Capital Modelling by Edu Pristine is from the course Archiv - Operational Risk. It contains the following chapters:
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... economic and regulatory capital by modeling the operational risk loss distribution of bank over a period of one year. Structure of Loss Distribution Approach: 1. Organize and group loss data into business line / event type matrix that corresponds to ...
... Loss estimates change over time. Challenges of LDA. Approach requires large amount of data. Approach is backward looking based on past experience. ...
... External, (3) Scenarios. Is sourced from commercial loss databases mainly to supplement internal loss data, modify model parameters, improve quality of scenarios. Is sourced mainly to supplement tail event ...
... by comparing mean and variance and by applying goodness of fit test such as chisquared test. Severity distribution: It consider more ...
... and severity distributions can combined into a single operational loss distribution. Construction the loss distribution is accomplished through Monte Carlo simulation across loss frequency and severity data. ...
... Typical practice is to focus on the correlations of frequency distributions between business lines and event types cells. ...