Numerical modelling of operational risks for the banking industry
presentation
posted on 2023-06-07, 23:41authored byR Barreira, T Pryer, Qi Tang
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.