Modelo LDA para medición avanzada de riesgo operacional

Translated title of the contribution: Advanced operational risk measurement with LDA model

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

This paper presents the simulated results after the application of an operational risk measurement model, and the benefits obtained when an adequate process is followed to identify risk-generating sources. This serves as support to the control stage through the monitoring of indicators to mitigate operational risks. The main approach of this study lies on one of the advanced operational risk measurement models suggested by Basilea, specifically the loss distribution approach (lda), applied to three types of operational risk events in one of the business lines of a financial institution in Colombia. Operational Value-at-Risk (OpVaR) quantification was made under two comparison methods, and determined by the characteristics of distributions in the calculation of expected and unexpected losses for each event. Results show an estimate of the range of values that may be the point of reference for the organization in order to maintain a required economic capital that covers future exposures to operational risk.

Translated title of the contributionAdvanced operational risk measurement with LDA model
Original languageSpanish
Pages (from-to)9-27
Number of pages19
JournalInnovar
Volume28
Issue number68
DOIs
StatePublished - 2018

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