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• W2024485079 abstract "The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a greater variety in credit risk modelling, this article explores the applicability of a modified version of CreditRisk+ to operational loss data. Our adapted model, OpRisk+, works out very satisfying Values-at-Risk (VaR) at 95% level as compared with estimates drawn from sophisticated AMA models. OpRisk+ proves to be especially worthy in the case of small samples, where more complex methods cannot be applied. OpRisk+ could therefore be used to fit the body of the distribution of operational losses up to the 95%-percentile, while Extreme Value Theory (EVT), external databases or scenario analysis should be used beyond this quantile." @default.
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• W2024485079 date "2012-04-20" @default.
• W2024485079 modified "2023-09-27" @default.
• W2024485079 title "Measuring operational risk in financial institutions" @default.
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• W2024485079 doi "https://doi.org/10.1080/09603107.2012.667546" @default.
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