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Numerical modelling of operational risks for the banking industry
presentation
posted on 2023-06-07, 23:41 authored by R Barreira, T Pryer, Qi TangIn 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.
History
Publication status
- Published
ISSN
1746-4463Publisher
WIT PRESS/COMPUTATIONAL MECHANICS PUBLICATIONS, ASHURST LODGE, ASHURST, SOUTHAMPTON SO40 7AA, ENGLANDPresentation Type
- paper
Event name
Conference on Computational FinanceEvent location
Cadiz, SPAIN, 2008Event type
conferenceISBN
978-1-84564-111-5Department affiliated with
- Mathematics Publications
Notes
Source: COMPUTATIONAL FINANCE AND ITS APPLICATIONS III Book Series: WIT TRANSACTIONS ON INFORMATION AND COMMUNICATION TECHNOLOGIESFull text available
- No
Peer reviewed?
- Yes