Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83381
Authors: 
Chalupka, Radovan
Teplý, Petr
Year of Publication: 
2008
Series/Report no.: 
IES Working Paper 17/2008
Abstract: 
In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two estimation methods were applied; the standard maximum likelihood estimation method and the probability weighted method (PWM). Our results proved a heavy-tailed pattern of operational risk data consistent with the results documented by other researchers in this field. Additionally, our research demonstrates that the PWM is quite consistent even when the data is limited since our results provide reasonable and consistent capital estimates. From a policy perspective, it should be noted that banks from emerging markets such as Central Europe are exposed to these operational risk events and that successful estimates of the likely distribution of these risk events can be derived from more mature markets.
Subjects: 
operational risk
economic capital
Basel II
extreme value theory
probability weighted method
JEL: 
G18
G21
G32
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
668.48 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.