A practical application of extreme value theory to operational risk in banks

Volume: 5, Issue: 2, Pages: 63 - 78
Published: Jun 1, 2010
Abstract
Operational losses are true dangers for banks, since their maximal values to signal default are difficult to predict. In this paper, we analyze data from a very large US bank and show that it could suffer, on average, more than four major losses a year. The bank had seven losses exceeding hundreds of millions of dollars among its 52 documented losses of more than US$1 million over the 1994-2004 period. The tail of the loss distribution predicts...
Paper Details
Title
A practical application of extreme value theory to operational risk in banks
Published Date
Jun 1, 2010
Volume
5
Issue
2
Pages
63 - 78
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