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What is Operational Risk Capital Modelling Insights about?

This document summarizes a paper analyzing operational risk data collected by the Basel Committee. It explores different statistical models for estimating losses in the tails of the data distributions for different business lines. Specifically, it compares conventional actuarial distributions to models from Extreme Value Theory, finding the Peaks Over Threshold approach from EVT explains the tail behavior well. It then uses this model to estimate severity and frequency of large losses and calculate an opera

Author

mpsnotes

Language

EN