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Operational risk mangement and implications for bank's economic capital - a case study
Chalupka, Radovan; Teplý, Petr - 2008
described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two …
Persistent link: https://www.econbiz.de/10010322249
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Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?
Rünger, Petra; Walther, Ursula - 2004
Operationelle Risiken stellen für Banken nach dem Kreditrisiko die zweitwichtigste Risikokategorie dar. Ein effektives Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der bankaufsichtsrechtlichen Vorgaben...
Persistent link: https://www.econbiz.de/10010305656
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Operational risk - scenario analysis
Rippel, Milan; Teplý, Petr - 2008
of 2006 and recent severe operational risk loss events. This paper focuses on operational risk measurement techniques and … bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach or the … this method, custom plausible loss events defined in a particular scenario are merged with the original data sample and …
Persistent link: https://www.econbiz.de/10010322209
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Operational disruption and the Hungarian real time gross settlement system (VIBER)
Lublóy, Ágnes; Tanai, Eszter - 2008
Central bankers wish to ensure worldwide that large-value transfer systems, as a component of the key market infrastructure, exhibit sufficiently robust levels of operational resilience. We focus on the operational resilience of the Hungarian real time gross settlement system, known as VIBER....
Persistent link: https://www.econbiz.de/10010322389
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For now, middle-skilled jobs are the most vulnerable
Levy, Frank; Murnane, Richard J. - In: CESifo Forum 07 (2006) 2, pp. 38
Persistent link: https://www.econbiz.de/10011695838
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Activities that do not require physical contact or geographical proximity
Blinder, Alan S. - In: CESifo Forum 07 (2006) 2, pp. 39-40
Persistent link: https://www.econbiz.de/10011695839
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Darf ein profitabler Weltkonzern wie Siemens Ost-Standorte schließen? Eine wirtschaftsethische Reflexion
Pies, Ingo - 2018
Diese wirtschaftsethische Reflexion geht angesichts einer sehr lautschrillen öffentlichen Debatte der Frage nach, ob ein profitabler Weltkonzern wie Siemens Betriebsstandorte in strukturschwachen Regionen Ostdeutschlands schließen darf. Dem die Öffentlichkeit dominierenden Wahrnehmungsmuster...
Persistent link: https://www.econbiz.de/10011815542
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Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study
Chernobai, Anna; Menn, Christian; Rachev, Svetlozar T.; … - 2010
banks, require the use of historic operational loss data. Operational loss databases are typically subject to a minimum … estimates when the threshold is ignored. Using publicly available operational loss data, we analyze the effects of model … misspecification on resulting expected loss, Value-at-Risk, and Conditional Value-at-Risk figures and show that underestimation of the …
Persistent link: https://www.econbiz.de/10010301729
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Copula dynamics in CDOs
Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - 2012
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...
Persistent link: https://www.econbiz.de/10010318769
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Modeling a distribution of mortgage credit losses
Gapko, Petr; Šmíd, Martin - 2010
One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a credit risk. Leaving unmanaged, the credit risk would, with a high probability, result in a crash of a bank. In our paper, we will focus on the credit risk quantification...
Persistent link: https://www.econbiz.de/10010322287