KDnuggets : News : 2008 : n05 : item6 | PREVIOUS | NEXT |
WebcastsSubject: Insightful Webcast, Mar 18: Operational Risk Solution - Advanced Measurement Approach Tuesday, March 18th:
Abstract: Basel II is promoting the implementation of the Advanced Measurement Approach to tackle Operational Risk among banks. An internal model that meets the requirements can generate higher precision and lower Value at Risk. Quantitative information from past losses as well as a qualitative source must be taken into account. The analysis of severities, through Extreme Value Theory is combined to the analysis of frequencies, and a convolution is used to derive the VaR. In this talk we present an implementation of AMA using Insightful tools: IMINER, S-PLUS, S+FinMetrics and EnvStats; we propose a stable application of EVT and a scenario analysis. We will also present a solution on how to derive a qualitative VaR from Managers' information that meets Basel II requirements.
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KDnuggets : News : 2008 : n05 : item6 | PREVIOUS | NEXT |
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