Implementing loss distribution approach for operational risk

Pavel V. Shevchenko

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Implementing loss distribution approach for operational risk

机译：实施损失分配方法以应对运营风险

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In order to quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the loss distribution approach. There are many modeling issues that should be resolved to use this approach in practice. In this paper we review the quantitative methods suggested in the literature for the implementation of the approach. In particular, the use of Bayesian inference that allows one to take expert judgement and parameter uncertainty into account, modeling dependence, and inclusion of insurance are discussed.

机译：为了量化在现行的银行监管框架（称为巴塞尔协议II）下的操作风险资本支出，许多银行都采用了损失分配方法。在实践中使用此方法应解决许多建模问题。在本文中，我们回顾了文献中提出的用于实施该方法的定量方法。特别是，讨论了使用贝叶斯推断的方法，该方法允许人们将专家判断和参数不确定性考虑在内，建模依赖性和保险包括在内。

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《Applied stochastic models in business and industry》 |2010年第3期|共31页
作者
Pavel V. Shevchenko;
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正文语种 eng
中图分类应用数学;
关键词
Operational risk; Loss distribution approach; Bayesian inference; Dependence modeling; Basel II;

机译：操作风险;损失分配方法;贝叶斯推理;依赖模型;巴塞尔协议II;

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1. Implementing loss distribution approach for operational risk [J] . Pavel V. Shevchenko Applied stochastic models in business and industry . 2010,第3期

机译：实施损失分配方法以应对运营风险
2. Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation [J] . Gareth W. Peters, Pavel V. Shevchenko, Mark Young, Insurance . 2011,第3期

机译：α稳定双随机复合过程的操作风险的分析损失分配方法模型及其对资本分配的影响
3. A PIECEWISE-DEFINED SEVERITY DISTRIBUTIONBASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS [J] . JIANPING LI, JICHUANG FENG, JIANMING CHEN International Journal of Information Technology & Decision Making . 2009,第4期

机译：基于片段定义的严重度分布的损失分布估算方法，以估算操作风险：来自中国国家商业银行的证据
4. Operational Risk Measurement via the Loss Distribution Approach [C] . Jichuang Feng, Jianming Chen, Jianping Li IEEE international conference on grey systems and intelligent services . 2009

机译：通过损失分配法衡量运营风险
5. Comparative analysis of Poisson and alpha-stable distributions on frequency of operational risk loss events [D] . Edwards, Jeffrey L. 2011

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7. Implementing loss distribution approach for operational risk [O] . Shevchenko, Pavel V 2010

机译：实施损失分配方法以应对操作风险

Implementing loss distribution approach for operational risk

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