Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147181
Authors: 
Momen, Omid
Kimiagari, Alimohammad
Noorbakhsh, Eaman
Year of Publication: 
2012
Citation: 
[Journal:] Journal of Industrial Engineering International [ISSN:] 2251-712X [Volume:] 8 [Year:] 2012 [Pages:] 1-10
Abstract: 
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.
Subjects: 
Operational risk
Copula
Loss distribution approach
Bank
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/2.0/
Document Type: 
Article

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