PL EN


Journal
2013 | 1(39) | 133-143
Article title

The application of generalized pareto distribution and copula functions in the issue of operational risk

Content
Title variants
Languages of publication
EN
Abstracts
EN
The article concerns the issue of modelling of operational risk in a bank. The area of analysis is related to two separate analytical areas composed of certain combinations of the Basel Matrix risk categories. The focus of interest is in the modelling of loss severity distributions in LDA models and in consideration of the power and character of dependences among the studied analytical areas. To model a single loss severity distribution, the authors used the approach based on extreme values theory EVT. GPD distribution was used to model the right tail. The t-Student copula function was used in the cases of consideration of power and character of dependences. The determined values describe the effects of the applied approach in relative scale.
Journal
Year
Issue
Pages
133-143
Physical description
Dates
published
2013
Contributors
  • Uniwersytet Ekonomiczny w Katowicach
  • Uniwersytet Ekonomiczny w Katowicach
References
  • Chernobai A., Rachev S., Fabozzi F. (2007), Operational Risk. A Guide to Basel II Capital Requirements, Models and Analysis, Wiley & Sons, Hoboken, NJ.
  • Cherubini U., Luciano E., Vecchiato W. (2004), Copula Methods in Finance, Wiley & Sons, Chichester.
  • Di Clemente A., Romano C. (2004), A copula-extreme value theory approach for modelling operational risk, [in:] M. Cruz (ed.), Operational Risk Modelling and Analysis. Theory and Practice, Risk Books, London.
  • Embrecht P., Kluppelberg C., Mikosch T. (1997), Modeling Extremal Events, Springer-Verlag, Berlin.
  • Embrecht P., Hoing A., Juri A. (2003), Using copulae to bound the Value-at-Risk for functions of dependent risks, Finance and Stochastics 7.
  • Klugman S., Panjer H., Willmot G. (2008), Loss Models from Data to Decisions, Wiley & Sons, Hobo-ken, NJ.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-9c9d082e-8351-49b8-8e39-d105ad42dc9d
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