This paper considers some univariate and multivariate operational risk models, in which the loss severities are … modelled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some …/III regulatory capital accords, which is the so-called Loss Distribution Approach. We also conduct some simulation studies to check …

during the 1994-2004 period. The tail of the loss distribution (a Pareto distribution without expectation whose …

three main quantitative sources available to banks for building the loss distribution are internal loss data, external loss … in the loss distribution approach (LDA) framework through a Bayesian strategy. The integration of the different elements … second step, the initial posterior function is used as the prior distribution and the internal loss data inform the …

This paper investigates the characteristics of the operational loss data formation mechanism that takes place between …. The first loss that characterizes the initial impact of a new operational risk event frequently triggers a sequence of … of secondary losses is not homogeneous: both are functions of the initial loss amount and time. We model the arrival …

heavy right-tailed loss distribution, whereas those based on normal approximations are not reliable. The estimation …

of loss data implies that an individual bank cannot obtain a probability distribution with any reliability. We propose a … model, targeting the regulator initially, by obtaining a probability distribution for loss magnitude using pooled annual … risk losses from the banks under the regulator's oversight. We start with summarized loss data from 63 European banks and …

Within the loss distribution approach framework, the required capital is the 99.9% value-at-risk of the annual loss … quantiles – to operational risk modeling in the loss distribution approach framework. We calibrate the different parameters that …