Key Issues in Operational Risk Capital Modelling
Über den Vortrag
Der Vortrag „Key Issues in Operational Risk Capital Modelling“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Operational Risk“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Loss Distribution Approach to Measuring Operational Risk
- Advantages of LDA
- Challenges of LDA
- Issues Related to External and Internal Operational Loss Data Sets
- Frequency and Severity Distributions of Operational Losses are Obtained
- LD is Obtained from Frequency and Severity Distributions
Dozent des Vortrages Key Issues in Operational Risk Capital Modelling
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
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Auszüge aus dem Begleitmaterial
... 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. ...
