Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

PL EN


2014 | 16(2) | 35-50

Article title

Minimum regulatory capital estimates convergence for LDA and SLA methods

Authors

Title variants

Languages of publication

Abstracts

EN
The calculation of minimum regulatory capital for operational risk is a challenging task for statisticians working in finance. The aim of this paper is to compare two alternative approaches that are widely exploited in the banking reality. Thorough attention is paid to the Loss Distribution Approach (LDA) and the Single Loss Approximation (SLA). Their applications in the operational risk industry are examined and their outputs based on simulated samples are compared. Particular attention is paid to the convergence of both outputs considering the characteristics of underlying data.

Keywords

Year

Volume

Pages

35-50

Physical description

Dates

published
2017-09-11

Contributors

References

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.ceon.element-3f20e535-285c-39ab-a07a-694ec6fefdec
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.