assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the … all business lines and event types. In a second phase, our models are used to estimate the effects of operational risk … management actions on bank profitability, through a measure of RAROC adapted to operational risk. The results suggest that …

We use an empirical model to categorize firms into portfolios based on operational risk. Using these portfolios, we … show that a strategy of buying firms in the highest decile of operational risk and shorting firms in the lowest decile of … operational risk earned a positive but insignificant risk-adjusted average return of 0.72% per month from 1990 to 2000. However …

collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been … objective of this paper is to understand the impact of model uncertainty on the value-at-risk (VaR) estimators. To accomplish … that, we take the bank's perspective and study a single risk. Under this simplified scenario we can solve the problem …

collection threshold in operational risk modeling. There are several approaches under consideration --- the empirical approach … family. Our primary goal is to quantify the effect of model uncertainty on risk measurements. This is accomplished by … evaluating the probability of each approach producing conservative capital allocations based on the value-at-risk measure. These …