Consistent Quantitative Operational Risk Measurement and Regulation : Challenges of Model Specification, Data Collection and Loss Reporting »
Series: IMF Working Papers
Author(s): Andreas Jobst
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2007
Keywords: financial regulation, bank regulation, Basel Committee, Basel II, New Basel Capital Accord, fat tail behavior, extreme tail behavior, extreme value theory, g-and-h distribution, AMA
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the...