Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/147181 
Erscheinungsjahr: 
2012
Quellenangabe: 
[Journal:] Journal of Industrial Engineering International [ISSN:] 2251-712X [Volume:] 8 [Publisher:] Springer [Place:] Heidelberg [Year:] 2012 [Pages:] 1-10
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into three main categories including credit risk, market risk, and operational risk. The focus of this study is on the operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk models in Iran are discussed, and then, some solutions are recommended. Moreover, all steps of operational risk measurement based on Loss Distribution Approach with Iran's specific modifications are presented. We employed the approach of this study to model the operational risk of an Iranian private bank. The results are quite reasonable, comparing the scale of bank and other risk categories.
Schlagwörter: 
Operational risk
Copula
Loss distribution approach
Bank
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