On Some Approaches Of Operational Risk Estimation

A tétel rövid nézete
dc.contributor.advisorGáll, József
dc.contributor.authorGashi, Viola
dc.contributor.departmentDE--Természettudományi és Technológiai Kar--Matematikai Intézethu_HU
dc.date.accessioned2020-05-14T22:04:36Z
dc.date.available2020-05-14T22:04:36Z
dc.date.created2020-05-14
dc.description.abstractThe 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.hu_HU
dc.description.correctorSz.G.
dc.description.courseApplied Mathematicshu_HU
dc.description.degreeMSc/MAhu_HU
dc.format.extent41hu_HU
dc.identifier.urihttp://hdl.handle.net/2437/287362
dc.language.isoenhu_HU
dc.subjectValue at Riskhu_HU
dc.subjectOperational Riskhu_HU
dc.subjectLDA Methodhu_HU
dc.subjectMonte Carlohu_HU
dc.subjectPanjer Recursionhu_HU
dc.subject.dspaceDEENK Témalista::Matematikahu_HU
dc.titleOn Some Approaches Of Operational Risk Estimationhu_HU
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Theses (Faculty of Science and Technology)