PL EN


2012 | 60 | 7 | 698 – 716
Article title

THE APPLICATION OF EXTREME VALUE THEORY IN OPERATIONAL RISK MANAGEMENT

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
This paper focuses on modelling the real operational data of an anonymous Central European bank. We have applied the Extreme Value Theory, in which we have used two estimation methods – the standard maximum likelihood estimation method and the probability weighted moments (PWM). Our results proved a heavy-tailed pattern of operational risk data as documented by many researchers. Additionally, we showed that the PWM is quite consistent when the data is limited as it was able to provide reasonable and consistent capital estimates. Our findings show that when using the Advanced Measurement Approach rather than the Basic Indicator Approach used in Basel II, the researched bank might save approx. 6 – 8% of its capital requirement on operational risk.
Contributors
author
  • Univerzita Karlova v Praze, Fakulta sociálních věd, Institut ekonomických studií, Smetanovo nábřeží 6, 110 01 Praha, Czech Republic, teply@fsv.cuni.cz
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.cejsh-1be1a8cf-8355-4600-ba51-0c504605d83f
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.