Minimum regulatory capital estimates convergence for LDA and SLA methods

• Authors: Przekop, Damian

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

EN

operational risk; SLA; LDA; estimation; method.

• Publisher: Szkoła Główna Handlowa w Warszawie. Kolegium Zarządzania i Finansów
• Journal: Journal of Management and Financial Sciences
• Year: 2014
• Volume: 16(2)
• Pages: 35-50

Dates

published

2017-09-11

Contributors

author

Przekop, Damian