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Practices and issues in operational risk modeling under Basel II

Embrechts, Paul ; Hofert, Marius

In: Lithuanian Mathematical Journal, 2011, vol. 51, no. 2, p. 180-193

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    Title
    • Practices and issues in operational risk modeling under Basel II
    Author
    • Embrechts, Paul. RiskLab, Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland
    • Hofert, Marius. RiskLab, Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland
    Document Type
    • Postprint
    Language
    • English
    Published in
    • Lithuanian Mathematical Journal, 2011, vol. 51, no. 2, p. 180-193. Springer US; http://www.springer-ny.com
    Other Version
    OAI-PMH Identifier
    • oai:doc.rero.ch:322359
    Summary
    We provide an introduction and overview to operational risk modeling according to the Basel II legal documents and summarize observed practices and issues as well as suggested approaches for measuring and quantifying operational risk