New Capital Accord Basle II: Using LDA Approach for Measuring Operational Risk?
Company: Vrije Universiteit Amsterdam
Year Of Publication: 2005
Month Of Publication: January
Pages: 36
Download Count: 11
View Count: 85
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 7-25-2010
Publisher: Administrator
Summary
The main topic of this paper is Using a Loss Distribution Approach (LDA) for Measuring
Operational risk; this is one of the most sophisticated methods currently available within the AMA
approach. The difference between this method and the scorecard approach is that it does not
uses drivers to model operational losses. Unlike the IMA approach, the LDA approach does not
assume that there is a direct relationship between the expected and the unexpected losses. It
simply estimates the capital charge for operational risk by using several steps.
Operational risk; this is one of the most sophisticated methods currently available within the AMA
approach. The difference between this method and the scorecard approach is that it does not
uses drivers to model operational losses. Unlike the IMA approach, the LDA approach does not
assume that there is a direct relationship between the expected and the unexpected losses. It
simply estimates the capital charge for operational risk by using several steps.
Find all documents with these keywords:
operational risk Basel II regulatory capital AMA LDA Advanced Measurement Approach capit
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VaR Uses——Operational Risk
operational risk Basel II regulatory capital AMA LDA Advanced Measurement Approach capit
Find all documents in these Categories:
VaR Uses——Operational Risk
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