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Operasyonel Risk Yönetimi'nde Zarar Dağılımları ile Gelişmiş Ölçüm Yaklaşımı Uygulaması = Advanced Measurement Approach with Loss Distribution in Operational Risk Management

Author(s): Nurgül CHAMBERS | Atilla ÇİFTER

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 8;
Issue: 2;
Start page: 143;
Date: 2007;
Original page

Keywords: Operasyonel risk | Gelişmiş ölçüm yaklaşımı | Zarar dağılımı | Değişen dağılım | İç ve dış veri birleştirilmesi | Güven aralığı | Operational risk | Advanced measurement approach (AMA) | Loss distribution | Switching distribution approach | Mixing internal and external data | Confidence interval

According to the last proposal by Basel Committee, commercial banks are allowed to use advanced measurement approach for operational risk. Since basic indicator and standard approach considers operational risk as a percentage of gross profit, these methodologies are not satisfactory as real lost or probability of lost are not taken into consideration. In this article, loss distribution approach is applied with simulated data. 20 nonparametric loss distributions and mixing internal and external data with loss distribution are applied. We introduced switching distribution Approach in loss distribution approach. We also found that %99.9 confidence interval is inapplicable in unexpected loss (UL) for sophisticated distributions (same as BIS [2004] foresight) and advised to choose confidence interval between %99.0 and %99.5.
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