Extreme value theory (EVT) is regularly put forward by academics, practitioners and banking regulators as a methodology …

framework for the international convergence of capital measurement and capital standards. In developing the framework the … regulatory compliance to strategic goals related to maximising return on risk measurement and management activities. …

fitting of the extreme value theory distribution and the lognormal distribution to a loss dataset and the comparison thereof … the loss events. Practitioners of operational risk have generally used the traditional approach in using the lognormal … distribution to model this type of heavy tailed data. This project report attempted to determine whether using extreme value theory …

of existing risk measurement techniques and, in some cases, through the development of new techniques, when older risk ….erational risk loss distributions. The depth and duration of the credit crisis have highlighted a number of problems in modern … been presented and a comparison has been made between operational loss characteristics pre and during the crisis. Some of …

Approaches. The AMA developed in this thesis uses actuarial loss models complemented by the extreme value theory to determine the …This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to … Revised Framework for International Convergence of Capital Measurement and Capital Standards (Basel II) gives substantial …

In June 2004 the Committee published a revised framework for the international convergence of capital measurement and … sophisticated measurement approaches. The less sophisticated approaches, the Basic Indicator Approach and the Standardised … capital charge for operational risk, while the most sophisticated approach, the Advanced Measurement Approaches, use a bank …