کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1136450 | 1489128 | 2013 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Measuring the capital charge for operational risk of a bank with the large deviation approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, the large deviation approach for computing the capital charge for operational risk of a bank is explored. Firstly, the negatively-associated structure is utilized to measure the dependence between distinct operational loss cells. Secondly, the lower and upper bounds of the tail distribution function of total aggregated loss processes are determined. In addition, first order approximations using a value-at-risk measure are derived. Finally, an important example calculating the capital charge for operational risk under the class of a heavy-tailed distribution is provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematical and Computer Modelling - Volume 58, Issues 9â10, November 2013, Pages 1634-1647
Journal: Mathematical and Computer Modelling - Volume 58, Issues 9â10, November 2013, Pages 1634-1647
نویسندگان
Zhaoyang Lu,