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Management betrieblicher Risiken bei produzierenden Unternehmen
König, Roland - 2008
Für produzierende Unternehmen wird es zunehmend wichtig, auch die operativen Risiken besser zu bewerten. Daher werden Methoden benötigt, mit denen diese Risiken identifiziert und bewertet werden können. Im Rahmen der vorliegenden Arbeit wurden entsprechende Methoden entwickelt. Dabei geht es...
Persistent link: https://www.econbiz.de/10009467405
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Monte-Carlo Simulation und Fuzzyfizierung qualitativer Informationen bei der Unternehmensbewertung
Klein, Martin - 2011
Hilfe der Fuzzy-Set Theorie und einem wissensbasierten System qualitative Risikoinformationen erfasst und einer … Monte Carlo simulation is particularly difficult. The second article presents how the fuzzy-set theory allows these factors …
Persistent link: https://www.econbiz.de/10009451171
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MODELING OPERATIONAL RISK LOSS DATA USING EXTREME VALUE THEORY
Pillay, Premlin - 2011
distribution to model this type of heavy tailed data. This project report attempted to determine whether using extreme value theory … fitting of the extreme value theory distribution and the lognormal distribution to a loss dataset and the comparison thereof … to determine the better approach. The main finding of the research was that using extreme value theory a better fit to …
Persistent link: https://www.econbiz.de/10009447671
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The financial crisis : reforming the South African risk management environment / Ja'nel Esterhuysen
Esterhuysen, Ja'nel Tobias - 2010
The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all major banks experiencing capital shortages and some defaulting outright....
Persistent link: https://www.econbiz.de/10009455993
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Measuring operational risk in the ALCO process / by Charmaine Smit
Smit, Charmaine - 2008
In the last decade, the financial service industry has become increasingly aware of the dangers posed by operational risk. Profound changes in the economic and financial environment have made it necessary for banks in general to adapt their long term strategies as well as their approaches to the...
Persistent link: https://www.econbiz.de/10009456096
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Operational Risk Capital Provisions for Banks and Insurance Companies
Afambo, Edoh Fofo - 2006
Approaches. The AMA developed in this thesis uses actuarial loss models complemented by the extreme value theory to determine the …
Persistent link: https://www.econbiz.de/10009463409
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Operational risk measurement in banks : arbitrage, adjustments and alternatives
Sundmacher, Maike; Trayler, Rowan; Doherty, Peter; … - University of Western Sydney; University of Western Sydney; … - 2004
In June 2004 the Committee published a revised framework for the international convergence of capital measurement and capital standards, known as Basel II. The proposal includes a formal capital charge against operational risk in the business activities of banks. The calculation of an...
Persistent link: https://www.econbiz.de/10009482032
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When statistics fail : extreme events in financial institutions
Sundmacher, Maike; Ford, Guy - University of Western Sydney; Macquarie University; … - 2004
Extreme value theory (EVT) is regularly put forward by academics, practitioners and banking regulators as a methodology …
Persistent link: https://www.econbiz.de/10009482233
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Leading indicators for operational risk : case studies in financial services
Ford, Guy; Sundmacher, Maike - Macquarie University; University of Western Sydney; … - 2004
It is somewhat ironic that while the major focus of regulators and institutions in the financial services sector over recent years has been on developing models for measuring and managing credit risk, most of the large losses in financial institutions over this time have been sourced to...
Persistent link: https://www.econbiz.de/10009482235
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Basel II : a research agenda for banks
Ford, Guy; Sundmacher, Maike - Macquarie University; University of Western Sydney; … - 2004
In June 2004 the Basel Committee on Banking Supervision of the Bank for International Settlements issued its revised framework for the international convergence of capital measurement and capital standards. In developing the framework the Committee has sought to determine risk-sensitive capital...
Persistent link: https://www.econbiz.de/10009482241