Analytical and numerical approach to corporate operational risk modelling

Although The New Basel Accord gives the methodology for managing operational risk in financial institutions, corporate risk seems not to be recognized enough. In this Ph.D. thesis we make an attempt to put some insight into operational risk measurement in a non-financial corporation. The objective is to apply suitable results from insurance ruin theory to build a framework for measuring corporate operational risk and finding required capital charge.

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Year of publication:	2006
Authors:	Mista, Pawel
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	Corporate risk management \| Operational risk \| Actuarial risk theory \| Ruin probability \| Operational reserves

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Extent:	application/pdf
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number HSC/06/03 68 pages
Classification:	C02 - Mathematical Methods ; c46 ; G22 - Insurance; Insurance Companies ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009004193