According to the last proposals of the Basel Committee on Banking Supervision, banks or insurance companies under the advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital requirement. The fourth includes ’business...

According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...

Within the loss distribution approach framework, the required capital is the 99.9% value-at-risk of the annual loss distribution, which is based on the fit of the severity and frequency distributions using internal data. The severity estimation is the most difficult to undertake because of the...

According to the Basel financial regulation, the use of external data is indispensable to the implementation of an Advanced Measurement Approach (AMA) for calculating operational risk capital. This paper aims to provide a simple solution to perhaps the most challenging step of building any...

According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...