Danageuzian, Hrair Razmig
(Notre Dame University-Louaize, 2021)
The term operational risk became widespread in the late 1990s when central bank representatives of twelve countries formed a working committee; the Basel Committee on Banking Supervision (BCBS). The BCBS defines operational risk as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This research aims to model operational risk data using the Loss Distribution Approach under BCBS requirements.
Simulated data was used consisting of 3,192 operational loss events between the years 2009 and 2018. The implementation of the LDA was ...