Patrick de Fontnouvelle
Federal Reserve Bank of Boston
600 Atlantic Avenue
Boston, MA 02106
NBER Working Papers and Publications
|January 2007||Implications of Alternative Operational Risk Modeling Techniques|
with Eric Rosengren, John Jordan
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
|February 2005||Implications of Alternative Operational Risk Modeling Techniques|
with John Jordan, Eric Rosengren: w11103
Quantification of operational risk has received increased attention with the inclusion of an explicit capital charge for operational risk under the new Basle proposal. The proposal provides significant flexibility for banks to use internal models to estimate their operational risk, and the associated capital needed for unexpected losses. Most banks have used variants of value at risk models that estimate frequency, severity, and loss distributions. This paper examines the empirical regularities in operational loss data. Using loss data from six large internationally active banking institutions, we find that loss data by event types are quite similar across institutions. Furthermore, our results are consistent with economic capital numbers disclosed by some large banks, and also with the re...
Published: Carey, Mark and Rene M. Stulz (eds.) The Risks of Financial Institutions A National Bureau of Economic Research Conference Report. Chicago and London: University of Chicago Press, 2006.