Operational Risk: The Sting is Still in the Tail but the Poison Depends on the Dose

74 Pages Posted: 25 Jan 2008

Multiple version iconThere are 2 versions of this paper

Date Written: October 2007

Abstract

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord (Basel II). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on operational risk based on generalized parametric estimation.

Keywords: Working Paper, Financial risk, Bank regulations, Risk management, Economic models

Suggested Citation

Jobst, Andreas A., Operational Risk: The Sting is Still in the Tail but the Poison Depends on the Dose (October 2007). IMF Working Paper No. 07/239, Available at SSRN: https://ssrn.com/abstract=1087157

Andreas A. Jobst (Contact Author)

Central Bank of the UAE ( email )

Abu Dhabi, Abu Dhabi
United Arab Emirates
+971-543439374 (Phone)

HOME PAGE: http://https://www.linkedin.com/in/andyjobst/

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