On Some Approaches Of Operational Risk Estimation

Dátum
Folyóirat címe
Folyóirat ISSN
Kötet címe (évfolyam száma)
Kiadó
Absztrakt

The main aim of the thesis was to compute Operational risk in banks using the Advanced Measurement Approach - LDA method. Under this method, the aggregate loss is needed to be computed, which lacks of closed-form approximations. Therefore, in this thesis we estimate it using the numerical method of Monte Carlo simulation and Panjer recursion.

Leírás
Kulcsszavak
Value at Risk, Operational Risk, LDA Method, Monte Carlo, Panjer Recursion
Forrás