Assessment of operational risk capital

Risk Management: Challenge and Opportunity

Volumn , Issue , 2005, Pages 279-301

  Alexander, Carol ^a  

^a UNIVERSITY OF READING   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84892819352     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/3-540-26993-2_14     Document Type: Chapter

References (11)

1. Alexander C (2002) Rules and Models: Understanding the Internal Measurement Approach to Operational Risk Capital RISK 15: 1 pp S2-S5
2. Alexander C (2003a) Statistical Models of Operational Loss. In: Alexander C (ed.) Operational Risk: Regulation, Analysis and Management FT - Prentice Hall, Pearson Education, London
3. Alexander C (2003b) Technical Document for OpRisk2021 Module 1 www.2021solutions.com
4. Alexander C (2003c) Operational Risk Aggregation. In: Operational Risk, 4:4 pp
5. Alexander C, Pezier J (2003a) Binomial Gammas, Operational Risk 2:4 pp
6. Alexander C, Pezier J (2003b) Assessment and Aggregation of Banking Risks 9 th Annual Round Table Report of the International Financial Risk Institute (IFCI). www.ifci.ch
7. Basle Committee (2001) Working Paper on the Regulatory Treatment of Operational Risk, Consultative Paper 2.5, September 2001, available from www.bis.org
8. Davidson C (2003) Banks use Op Loss Databases for Qualitative Analysis. Operational Risk 4:11 p18.
9. Embrechts P, Kluppelberg C, Mikosch T (1991) Modeling Extremal Events. Springer Verlag, Berlin
10. Frachot AP G, Roncalli T (2001) Loss Distribution Approach for Operational Risk. Credit Lyonnais, Paris http://gro.creditlyonnais.fr/content/ rd/home-copulas.htm
11. Gumbel EJ (1958) Statistics of Extremes. Columbia University Press, New York.