About: The Importance of Operational Risk Modeling for Economic Capital Management in Banking

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	This paper focuses on modeling the real operational data of an anonymous Central European Bank. We have utilized two main approaches described in the literature: the Loss Distribution Approach and 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, our research showed that the PWM is quite consistent when the data is limited as it was able to provide reasonable and consistent capital estimates. Our result show that when using the Advanced Measurement Approach (AMA) rather than the Basic Indicator Approach (BIA) used in Basel II, the researched bank might save approx. 6-7% of its capital requirement on operational risk. This paper focuses on modeling the real operational data of an anonymous Central European Bank. We have utilized two main approaches described in the literature: the Loss Distribution Approach and 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, our research showed that the PWM is quite consistent when the data is limited as it was able to provide reasonable and consistent capital estimates. Our result show that when using the Advanced Measurement Approach (AMA) rather than the Basic Indicator Approach (BIA) used in Basel II, the researched bank might save approx. 6-7% of its capital requirement on operational risk. (en)
Title	The Importance of Operational Risk Modeling for Economic Capital Management in Banking The Importance of Operational Risk Modeling for Economic Capital Management in Banking (en)
skos:prefLabel	The Importance of Operational Risk Modeling for Economic Capital Management in Banking The Importance of Operational Risk Modeling for Economic Capital Management in Banking (en)
skos:notation	RIV/00216275:25410/10:00009255!RIV12-MSM-25410___
http://linked.open...avai/riv/aktivita	I P Z
http://linked.open...avai/riv/aktivity	I, P(GA402/08/0004), Z(MSM0021620841)
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Černohorský, Jan
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Pardubice / Fakulta ekonomicko-správní
http://linked.open...dnocenehoVysledku	318780
http://linked.open...ai/riv/idVysledku	RIV/00216275:25410/10:00009255
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	method of estimating the probability weighted moments; theory of extreme values; bank; economic capital; risk (en)
http://linked.open.../riv/klicoveSlovo	bank economic capital risk method of estimating the probability weighted moments theory of extreme values
http://linked.open...ontrolniKodProRIV	[933B8E50D3F4]
http://linked.open...v/mistoKonaniAkce	Ostravice
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Struktural and Regional Impacts of Financial Crises
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Model of Credit Risk Management in the Czech Republic and its Applicability in the EU Banking Sector
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Teplý, Petr Černohorský, Jan Chalupka, Radovan
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000286075300023
http://linked.open.../riv/zahajeniAkce	2009-10-28 (xsd:date)
http://linked.open...n/vavai/riv/zamer	Development of the Czech Society in the EU: challenges and risks
number of pages	24 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě
https://schema.org/isbn	978-80-7248-554-3
http://localhost/t...ganizacniJednotka	25410

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