This paper investigates the characteristics of the operational loss data formation mechanism that takes place between …. The first loss that characterizes the initial impact of a new operational risk event frequently triggers a sequence of … of secondary losses is not homogeneous: both are functions of the initial loss amount and time. We model the arrival …

internationally active banks and other financial institutions. The OR is the unexpected loss, which is the difference between the 99 …:9 per cent quantile and the mean of the loss distribution. This paper adapts non-parametric methods based on heavy … nonparametric methods is that there are no assumptions made about the shape of loss distributions and that data determines their …

.This paper proposes a logical structure to quantify the operational risk capital charge with a Loss Distribution Approach (LDA …

have received accreditation under the Basel II Advanced Measurement Approach (AMA) by adopting the loss distribution …

context of capital reduction for a range of extreme loss models and insurance policy scenarios in a multi-period, multiple … risk settings. A Loss Distributional Approach (LDA) for modelling of the annual loss process, involving homogeneous … bank or financial institution to purchase insurance for heavy-tailed OpRisk losses under different insurance policy scenarios …

culture, and the risk appetite of the bank …

some fraction of the data temporal dimension), and allows for Country and bank specific fixed effects. We develop an …