Estimation of economic capital for operational risk in banking industry: a Brazilian case
Abstract
This article presents an analysis for the estimation of economic capital concerning operational risk in a Brazilian banking industry case making use of Markov chains, Extreme Value Theory (EVT) and Peaks Over Threshold (POT) modelling. The findings denote that some existent methods present consistent results among institutions with similar characteristics of loss...
Paper Details
Title
Estimation of economic capital for operational risk in banking industry: a Brazilian case
Published Date
Apr 1, 2011
Journal
Volume
18
Issue
5
Pages
485 - 491
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