Operational risks - an application of the method of distribution of aggregate losses: a study of case in financial institution / Riscos operacionais - uma aplicaÃÃo do mÃtodo de distribuiÃÃo de perdas agregadas: um estudo de caso em instituiÃÃo financeira
AUTOR(ES)
Luiz Eduardo MagalhÃes de Freitas
DATA DE PUBLICAÇÃO
2005
RESUMO
This paper demonstrates the application of stochastic process Aggregate Loss Distribution Approach for measure of operational risk in a financial institution in according with the minimal requirement of Basel New Adequacy Capital Framework. The mesure uses the historical behaviour of specific operational losses wich happened in the period from 2001,jan to 2004, dec, caused by frauds in and out the company. The process involves the probability distributions fit to frequency and severity historic loss data, the adjustment validation through the application statistical tests and the compound of frequency and severity distributions for production of aggregate yearly loss distribution using Monte Carlo simulation. It approaches either a backtest model for result validation and the stress scenarios development for impacts verification in the capital allocation. This paper clarifies the application of Aggregate Loss Distribution Approach to mesure operational risks, with objective features of validation at every process stages as well as its use as a tool of evaluation from the extreme risk efects and focus in risks mitigation actions through the development scenarios for stresstesting.
ASSUNTO(S)
capital allocation alocaÃÃo de capital economia distribution of losses probabilidade risco operacional distribuiÃÃo de perdas operational risk probability
ACESSO AO ARTIGO
http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1830Documentos Relacionados
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