ESTIMATING AN EFFICIENT THRESHOLD FOR THE MODELLING AND COMPUTATION OF OPERATIONAL RISK CAPITAL

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

POUYANFAR AHMAD; BEYTY SAEID; HABIBI ALI

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:5 | Issue:18 Page(s): 105-133

Download Full-Text

Persian Verion

View:

1,319

Download:

Cites:

Information Journal Paper

Title

ESTIMATING AN EFFICIENT THRESHOLD FOR THE MODELLING AND COMPUTATION OF OPERATIONAL RISK CAPITAL

Author(s)

POUYANFAR AHMAD | BEYTY SAEID | HABIBI ALI | Issue Writer Certificate

Keywords

OPERATIONAL RISKQ1

LOSS DISTRIBUTION APPROACH (LDA)Q2

EXTREME VALUE THEORY (EVT)Q2

THRESHOLDQ2

TWO PATTERN DISTRIBUTIONQ2

CAPITAL AT RIKQ2

Abstract

In this paper we conduct an empirical study to quantify and model OPERATIONAL RISK by using loss distribution approach. Our main goals are to implement Extreme Value Theory (EVT) and propose a new method to estimate the tail THRESHOLD by minimizing the Mean Squared Error of spliced distribution. We have used popular parametric model (Lognormal, Weibull, Gamma, and Exponential), Generalized Pareto Distribution (GPD) and the combination of them in constructing spliced distribution (log-Gp and Wbl-Gp) to model severity distribution based on operational loss data which belongs to a large European bank.Results indicate that parametric distributions are insignificant in fitting to data, especially in the tail region. But spliced distributions in comparison with other distributions have more efficiency to fit to the empirical quartiles. Errors in estimating very high quartiles of severity distribution, is the main reason for different figures of capital at risk in significant distributions. Therefore, it’s better to compute OpVaR figures in lower confidence level by spliced distribution based on introduced THRESHOLD.

Cites

EVALUATION OF DOWNSIDE RISK AND STOCK RETURNS IN TEHRAN STOCK EXCHANGE VIA EXTREME VALUE THEORY

References

No record.

Cite

APA: Copy

POUYANFAR, AHMAD, BEYTY, SAEID, & HABIBI, ALI. (2014). ESTIMATING AN EFFICIENT THRESHOLD FOR THE MODELLING AND COMPUTATION OF OPERATIONAL RISK CAPITAL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(18), 105-133. SID. https://sid.ir/paper/197787/en

Vancouver: Copy

POUYANFAR AHMAD, BEYTY SAEID, HABIBI ALI. ESTIMATING AN EFFICIENT THRESHOLD FOR THE MODELLING AND COMPUTATION OF OPERATIONAL RISK CAPITAL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;5(18):105-133. Available from: https://sid.ir/paper/197787/en

IEEE: Copy

AHMAD POUYANFAR, SAEID BEYTY, and ALI HABIBI, “ESTIMATING AN EFFICIENT THRESHOLD FOR THE MODELLING AND COMPUTATION OF OPERATIONAL RISK CAPITAL,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 18, pp. 105–133, 2014, [Online]. Available: https://sid.ir/paper/197787/en

Related Journal Papers