A tale of tails: An empirical analysis of loss distribution models for estimating operational risk capital

Arbeitspapier

Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product development for risk mitigation. We perform a comprehensive evaluation of commonly used methods and introduce new techniques to measure this risk with respect to various criteria. We find that our newly introduced techniques perform consistently better than the other models we tested.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Papers ; No. 06-13

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Financial Institutions and Services: General ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Criteria for Decision-Making under Risk and Uncertainty
• Subject: exploratory data analysis ; operational risk ; g-and-h distribution ; goodness-of-fit ; skewness-kurtosis ; risk measurement ; extreme value theory ; peak-over-threshold method ; generalized Pareto distribution ; truncated lognormal distribution ; loglogistic distribution

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dutta, Kabir ; Perry, Jason
• Event: Veröffentlichung
• (who): Federal Reserve Bank of Boston
• (where): Boston, MA
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/55646
• Last update: 10.03.2025, 11:42 AM CET