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- W1566657920 abstract "Under the Basel II accord there are pillar 1 charges for operational risks. These may be assessed using: the basic indicator approach, where the capital charge is a multiple of gross income; the standardized approach, which is similar to the basic indicator approach except being specific to business line; or the Advanced Measurement Approach (AMA), which is the subject of this chapter. The AMA entails the implementation of a statistical model for operational risk assessment. An actuarial approach is standard, whereby statistical distributions are fit to loss frequency and loss severity, the total loss distribution being the compound of these. The models are implemented using a variety of data, including internal and external losses and subjective estimates or scenarios." @default.
- W1566657920 created "2016-06-24" @default.
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- W1566657920 date "2008-09-15" @default.
- W1566657920 modified "2023-10-03" @default.
- W1566657920 title "Statistical Models of Operational Loss" @default.
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- W1566657920 doi "https://doi.org/10.1002/9780470404324.hof003011" @default.
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