An empirical study was conducted to determine the impact of different types of risk on the performance management of … independent variables were tested statistically using structural equation modelling (SEM). The results indicated that market risk …, financial risk, and credit risk have a significant impact on the performance of CRAs, whereas operational risk and business risk …

A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to … aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards … risk, having Basel Pillar II of Basel implications. Second, we utilize data from major banking institutions’ loss …

tax rates (a) on the effective tax rate, and (b) on the operational risk of capital investment projects and their parent …-correlation coefficient between portfolio projects will markedly increase a parent firm's project portfolio operational risk while impeding …

collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been … objective of this paper is to understand the impact of model uncertainty on the value-at-risk (VaR) estimators. To accomplish … that, we take the bank's perspective and study a single risk. Under this simplified scenario we can solve the problem …

acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement … risk measures. Naturally, financial analysts and regulators are interested in mitigating sampling errors, as prescribed in … lines of EU Regulation 575/2013. The Monte Carlo error for the operational risk measure is here assessed on the basis of the …

-effective instrument that reduces operational and economic risk levels in public sector organizations. Design/methodology/approach: A …) scales. The reliability analysis proved that all three scales are reliable; therefore, they are suitable for use as a risk … aforementioned measurement instruments, which can now be utilised by researchers in the field of risk management, to further advance …

damage on average. Numerical experiments suggest the dependence aspect is important and can alter final risk estimates by as …

Statistical analyses on actual data depict operational risk as an extremely heavy-tailed phenomenon, able to generate … of a bank or of a company, and this upper bound should be considered when dealing with tail-risk assessment … operational risk, but it can be applied in all those situations involving extreme fat-tails and bounded support …

distribution for modeling of Operational Risk. First, we provide an overview of the typical compound-process LDA used widely in … Operational Risk modeling, before expanding upon the current literature on evaluation and simulation of annual loss distributions … algorithms to efficiently evaluate this expectation. We further demonstrate their use in the calculation of Value at Risk and …

We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the … risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated …