Numerical modelling of operational risks for the banking industry

Barreira, R, Pryer, T and Tang, Q (2008) Numerical modelling of operational risks for the banking industry. In: Conference on Computational Finance, Cadiz, SPAIN, 2008.

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Abstract

In Basel II Capital Accord, the Advanced Measurement Approaches (AMA) is stated as one of the pillar stone methods for calculating corporate risk reserves. One of the common yet cumbersome methods is the one known as loss distribution approach. In this article, we present an easy to implement scheme through electronic means and discuss some of the mathematical problems we encountered in the process together with proposed solution methods and further thought on the issues.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Source: COMPUTATIONAL FINANCE AND ITS APPLICATIONS III Book Series: WIT TRANSACTIONS ON INFORMATION AND COMMUNICATION TECHNOLOGIES
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Depositing User: Raquel Barreira
Date Deposited: 06 Feb 2012 19:40
Last Modified: 11 Apr 2012 11:56
URI: http://sro.sussex.ac.uk/id/eprint/21703
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