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- W62832443 abstract "Address: Rua Dr. Sodre, 59 – Vila Suica Miguel Pereira – Rio de Janeiro CEP: 26900-000 – Brasil helderfm@hotmail.com Address: Rua Piragibe F.Aguiar, 30/601 Copacabana – Rio de Janeiro CEP: 22071-090 – Brasil delio.galvao@yahoo.com.br Renato Falci Villela Loures Fluminense Federal University Department of Economics Address: Avenida Atlântica, 3958/403 Copacabana – Rio de Janeiro – CEP: 22070-002 – Brasil rloures@globo.com Abstract The advance of globalization of international financial market has implied a more complex portfolio risk for the banks. Furthermore, several points as the growth of e-banking and the increase in accounting irregularities call attention to operational risk. This article presents an analysis for the estimation of economic capital concerning operational risk in a Brazilian banking industry case making use of Markov chains, extreme value theory, and peaks over threshold modelling. The findings denote that some existent methods present consistent results among institutions with similar characteristics of loss data. Moreover, even when methods considered as goodness of fit are applied, such as EVT-POT, the capital estimations can generate large variations and become unreal." @default.
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- W62832443 date "2009-01-01" @default.
- W62832443 modified "2023-09-23" @default.
- W62832443 title "ECONOMIC CAPITAL FOR OPERATIONAL RISK: A BRAZILIAN CASE" @default.
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