Abstract
According to the most recent Basel document, banks will be able to apply advanced measurement approach in risk calculation. Since the basic and standard methods consider operational risk as a percentage of gross income, these methods are insufficient to calculate the probability of loss and loss. In this article, damage distributions are applied with simulation data. In this study, 20 damage distribution and loss distribution based internal and external data were combined and a Loss Loss Approach was proposed in the distribution of loss distribution. Another finding is that the 99.9% confidence interval is very high in parallel with the detection of BIS (2004) in the determination of unexpected damage in non-parametric distributions, and the confidence interval between 99% and 99.5% should be selected for these distributions.
| Translated title of the contribution | Advanced Measurement Approach With Loss Distribution In Operational Risk Management |
|---|---|
| Original language | Other |
| Pages (from-to) | 143-158 |
| Journal | Doğuş University Journal |
| Volume | 8 |
| Issue number | 2 |
| Publication status | Published - Jul 2007 |