Modelo LDA para medición avanzada de riesgo operacional

Gloria Inés Macías Villalba, Sergio Andrés Parra Hormiga, Luz Helena Carvajal Herrera

Producción científica: Artículos / NotasArtículo Científicorevisión exhaustiva

4 Citas (Scopus)

Resumen

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.

Título traducido de la contribuciónAdvanced operational risk measurement with LDA model
Idioma originalEspañol
Páginas (desde-hasta)9-27
Número de páginas19
PublicaciónInnovar
Volumen28
N.º68
DOI
EstadoPublicada - 2018

Palabras clave

  • Aggregate losses distribution
  • Expected and unexpected losses
  • Frequency distribution
  • Operational risk
  • Severity distribution

Huella

Profundice en los temas de investigación de 'Modelo LDA para medición avanzada de riesgo operacional'. En conjunto forman una huella única.

Citar esto