Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Application of Copula Functions in Quantification of Operational Risk
Języki publikacji
Abstrakty
Problem poruszany w artykule dotyczy ilościowego pomiaru ryzyka operacyjnego z wykorzystaniem jednej z metod zaawansowanych, jaką jest metoda rozkładu strat (LDA - Loss Distribution Approach)(fragment tekstu)
The issue considered in the article concerns the quantification of operational risk in banking in case when the amount of OpVaR is determined on the basis of LDA method. The article presents the problem related to the estimation of OpVaR measure with the consideration of the dependence expressed by copula functions that belong to Archimedean family of copula functions. The need to search for solutions other than rigorous solutions of the supervisory institutions within this scope was shown. An important purpose of the study was the verification of the degree of interaction between the copula functions and the loss severity distribution on the risk measure OpVaR. (original abstract)
Rocznik
Strony
216--227
Opis fizyczny
Twórcy
autor
- Uniwersytet Ekonomiczny w Katowicach
Bibliografia
- Chernobai A., Rachev S., Fabozzi F.: Operational Risk. A Guide to Basel II Capital Requirements. John Wiley & Sons, New Jersey 2007.
- Dalla Valle L., Fantazzini D., Giudici P.: Copulae and Operactional Risks. http://www.gloriamundi.org.
- Heilpern S.: Funkcje łączące. AE, Wrocław 2007.
- Klugman S., Panjer H., Willmot G.: Loss Models. From Data to Decision. John Wiley & Sons, New Jersey 2008.
- Panjer H.: Operational Risk. John Wiley & Sons, New Jersey 2006.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
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