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Operational Risk
			: The Sting is Still in the Tail But the Poison Dependson the Dose

Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose »

Volume/Issue: 2007/239

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

DOI: http://dx.doi.org/10.5089/9781451868036.001

ISBN: 9781451868036

Keywords: financial regulation, Basel Committee, Basel II, New Basel Capital Accord, extreme value theory, generalized extreme value (GEV) distribution, extreme value theory (EVT), generalized Pareto distribution (GPD), peak-over-threshold (POT) method, g-and-h distribution

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel...

Operational Risk

Operational Risk »

Source: Operational Risk : The Sting is Still in the Tail But the Poison Dependson the Dose

Volume/Issue: 2007/239

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451868036

Keywords: financial regulation, Basel Committee, Basel II, New Basel Capital Accord, extreme value theory, generalized extreme value (GEV) distribution, extreme value theory (EVT), generalized Pareto distribution (GPD), peak-over-threshold (POT) method, g-and-h distribution

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel...