Skip to main content
Article thumbnail
Location of Repository

Quantifying Regulatory Capital for Operational Risk

By Paul Embrechts, Hansjörg Furrer and Roger Kaufmann


The proposed New Accord (Basel II) established by the Basel Committee on Banking Supervision calls for an explicit treatment of operational risk. Banks are required to demonstrate their ability to capture severe tail loss events. Value at risk is a risk measure that could be used to derive the necessary regulatory capital. Yet operational loss data typically exhibit irregularities which complicate the mathematical modeling. It is shown that traditional modeling approaches, including extreme value theory, reach their limits as the structure of operational loss data is barely in line with the modeling assumptions

Year: 2003
OAI identifier: oai:CiteSeerX.psu:
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.