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Operational risk capital provisions ...

Afambo, Edoh Fofo.

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Operational risk capital provisions for banks and insurance companies.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Operational risk capital provisions for banks and insurance companies./
Author:	Afambo, Edoh Fofo.
Description:	165 p.
Notes:	Source: Dissertation Abstracts International, Volume: 68-01, Section: A, page: 0248.
Contained By:	Dissertation Abstracts International68-01A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3250368

Operational risk capital provisions for banks and insurance companies.
Afambo, Edoh Fofo.

Operational risk capital provisions for banks and insurance companies. - 165 p.

Source: Dissertation Abstracts International, Volume: 68-01, Section: A, page: 0248.

Thesis (Ph.D.)--Georgia State University, 2006.

This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a major risk class because of huge operational losses experienced by many financial firms over the last past decade. Unlike market risk, credit risk, and insurance risk, for which firms and scholars have designed efficient methodologies, there are few tools to help analyze and quantify operational risk. The New Basel Revised Framework for International Convergence of Capital Measurement and Capital Standards (Basel II) gives substantial flexibility to internationally active banks to set up their own risk assessment models in the context of the Advanced Measurement Approaches. The AMA developed in this thesis uses actuarial loss models complemented by the extreme value theory to determine the empirical probability distribution function of the overall capital charge in terms of various classes of copulas. Publicly available operational risk loss data set is used for the empirical exercise.Subjects--Topical Terms:

626650
Economics, Finance.

Operational risk capital provisions for banks and insurance companies.
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100 1 $a Afambo, Edoh Fofo. $3 1922803
245 1 0 $a Operational risk capital provisions for banks and insurance companies.
300 $a 165 p.
500 $a Source: Dissertation Abstracts International, Volume: 68-01, Section: A, page: 0248.
500 $a Adviser: Samuel H. Cox.
502 $a Thesis (Ph.D.)--Georgia State University, 2006.
520 $a This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a major risk class because of huge operational losses experienced by many financial firms over the last past decade. Unlike market risk, credit risk, and insurance risk, for which firms and scholars have designed efficient methodologies, there are few tools to help analyze and quantify operational risk. The New Basel Revised Framework for International Convergence of Capital Measurement and Capital Standards (Basel II) gives substantial flexibility to internationally active banks to set up their own risk assessment models in the context of the Advanced Measurement Approaches. The AMA developed in this thesis uses actuarial loss models complemented by the extreme value theory to determine the empirical probability distribution function of the overall capital charge in terms of various classes of copulas. Publicly available operational risk loss data set is used for the empirical exercise.
590 $a School code: 0079.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
690 $a 0508
690 $a 0770
710 2 0 $a Georgia State University. $3 1018518
773 0 $t Dissertation Abstracts International $g 68-01A.
790 1 0 $a Cox, Samuel H., $e advisor
790 $a 0079
791 $a Ph.D.
792 $a 2006
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3250368