the loss events. Practitioners of operational risk have generally used the traditional approach in using the lognormal … fitting of the extreme value theory distribution and the lognormal distribution to a loss dataset and the comparison thereof …

research results required it and and the introduction of practical ways to use the results of the thesis in a post-crisis bank … risk management environment. Some of the bank asset portfolios that were investigated in the thesis were generated ….erational risk loss distributions. The depth and duration of the credit crisis have highlighted a number of problems in modern …

(ALCO) is responsible for managing a bank's assets and liabilities to balance its many risk exposures and thereby help it … management process performed within a bank. The ALCO process is driven by people, processes and technology which, in essence, is … measure and manage operational risk in a bank's ALCO process. A case study was conducted, with the aid of ALCO experts in a …

Approaches. The AMA developed in this thesis uses actuarial loss models complemented by the extreme value theory to determine the … available operational risk loss data set is used for the empirical exercise. …

capital charge for operational risk, while the most sophisticated approach, the Advanced Measurement Approaches, use a bank …

them as operational risk-related from the perspective of bank regulators. In this paper we compare and contrast the factors … the Bank for International Settlements. With this in mind, we examine how various non-financial measures may have been …

In June 2004 the Basel Committee on Banking Supervision of the Bank for International Settlements issued its revised … use of assessments of risks provided by bank's internal systems as inputs into capital calculations. The revised framework … agenda under the perception that governing boards and senior bank executives intend to move beyond simple issues of …