Following the recent global financial crisis, many banks and other businesses in the industrialized countries incurred notably heavy losses. As a consequence, reliable estimation of operational risk (OR) is becoming increasingly important to all internationally active banks and other financial...

This paper proposes some improvements to advanced measurement approach (AMA) to modelling operational losses and applies this approach to US business losses. The AMA involves, among others, modelling a loss severity distribution and estimating its Expected Loss and the 99.9% operational...