Connection Parameters of Heavy-tailed Operational Risk Measurement Model and Management Model

Journal of Risk Analysis and Crisis Response (JRACR)

关键词: operational risk;    supervising parameters;    elasticity theory;    operational VaR;   

DOI  :  10.2991/jrarc.2016.6.3.2

来源: DOAJ

【 摘 要 】

In order to connect the heavy-tailed operational risk measurement model with management model, a model identifying the crucial supervising parameters of operational risk is built after the heavy-tailed operational VaR’s sensitivity is theoretically researched by the elasticity analysis method. Further, the analysis of model application is illustrated with a numerical example. The crucial supervising parameters connect the operational risk measurement model and management model, which make the operational risk management frameworks to be a complete system. And a dynamical supervising system of operational risk is established. This research in theory improves the application of loss distribution approach to the operational risk measurement and management.

【 授权许可】

Unknown