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Transactions: WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS
Transactions ID Number: 32-204
Full Name: Aleksandra Brdar Turk
Position: Ph.D. Candidate
Age: ON
Sex: Female
Address: Vojkova 91, Ljubljana
Country: SLOVENIA
Tel: +38641560566
Tel prefix:
Fax: +38613007748
E-mail address: aleksandra.brdar@gmail.com
Other E-mails: aleksandra.brdar@siol.net,aleksandra.brdar@nlbskladi.si
Title of the Paper: A Quantitative Operational Risk Management Model
Authors as they appear in the Paper: Aleksandra Brdar Turk
Email addresses of all the authors: aleksandra.brdar@gmail.com
Number of paper pages: 13
Abstract: A possible modified use of the New Basel Accord's LDA capital adequacy calculation method is proposed, including expert's estimates in addition to available historical data and using calculation methods from the Extreme Value Theory (EVT). In financial institutions with short histories the operational risk losses follow a fat-tailed distribution from the EVT, which is why an EVT-based model is most suitable for their analysis. In cases of small historical data samples the addition of experts' estimates and the use of simulated data provides for both a simple and a reliable model to be used for operational risk management by identifying key business areas and key risk factors in both smaller financial institution as well as larger financial institutions, sub-divided into smaller comprehensive sections.
Keywords: Operational risk, Extreme value theory, Quantitative model
EXTENSION of the file: .pdf
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