Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55646
Authors: 
Dutta, Kabir
Perry, Jason
Year of Publication: 
2006
Series/Report no.: 
Working paper series // Federal Reserve Bank of Boston 06-13
Abstract: 
Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product development for risk mitigation. We perform a comprehensive evaluation of commonly used methods and introduce new techniques to measure this risk with respect to various criteria. We find that our newly introduced techniques perform consistently better than the other models we tested.
Subjects: 
exploratory data analysis
operational risk
g-and-h distribution
goodness-of-fit
skewness-kurtosis
risk measurement
extreme value theory
peak-over-threshold method
generalized Pareto distribution
truncated lognormal distribution
loglogistic distribution
JEL: 
G10
G20
G21
D81
Document Type: 
Working Paper

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