About: Operational risk -- bottom up approach by copulas

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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	According to Basel II each entity providing services in the banking industry has to measure credit, market, and operational risk it is exposed to and compare it to the amount of its eligible capital. Moreover, all these types of risk has been recently introduced by Solvency II into the insurance sector. Since the operational risk is a relatively new subject of modeling and measuring, there are still many unanswered questions. Generally, the risk estimation for a complex portfolio (ie. many intersections of business lines and risk event types) can be obtained by following a top-down or a bottom-up approach. Notwithstanding, for performance measuring it is important to be able to allocate the available capital for particular units due to its real consumption as given by the true contribution to the overall amount of risk. In this paper we apply the loss distribution approach for the combinations (intersections) of operational risk events types and business lines which we treat as marginal distributions. According to Basel II each entity providing services in the banking industry has to measure credit, market, and operational risk it is exposed to and compare it to the amount of its eligible capital. Moreover, all these types of risk has been recently introduced by Solvency II into the insurance sector. Since the operational risk is a relatively new subject of modeling and measuring, there are still many unanswered questions. Generally, the risk estimation for a complex portfolio (ie. many intersections of business lines and risk event types) can be obtained by following a top-down or a bottom-up approach. Notwithstanding, for performance measuring it is important to be able to allocate the available capital for particular units due to its real consumption as given by the true contribution to the overall amount of risk. In this paper we apply the loss distribution approach for the combinations (intersections) of operational risk events types and business lines which we treat as marginal distributions. (en)
Title	Operational risk -- bottom up approach by copulas Operational risk -- bottom up approach by copulas (en)
skos:prefLabel	Operational risk -- bottom up approach by copulas Operational risk -- bottom up approach by copulas (en)
skos:notation	RIV/61989100:27510/10:10229334!RIV11-GA0-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GA402/08/1237), S
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Tichý, Tomáš Havlický, Jiří
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	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	277097
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10229334
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Financial institutions, operational risk, bottom-up approach, copula functions (en)
http://linked.open.../riv/klicoveSlovo	Financial institutions copula functions operational risk bottom-up approach
http://linked.open...ontrolniKodProRIV	[A9B22C026106]
http://linked.open...v/mistoKonaniAkce	České Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2010
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of complex Lévy processes in modeling of financial assets prices
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Havlický, Jiří
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000287979900042
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of South Bohemia
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	27510

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