A Weighted Mean Model for Operational Risk Assessment

Huang, Yundong; Smith, Murphy; Durr, David

doi:10.2139/ssrn.2208699

Cited by 1 publication

(1 citation statement)

References 2 publications

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“…The basic idea of this framework is that only the worst case contains tail behavior information of operational risk, because the worst case compares the normal loss with the corresponding severity loss distribution quantile determined by historical loss. Huang, Smith and Durr (2013) [14] proposed a simple weighted average model to measure internal operational risk. Previous complex models are affected by insufficient historical data or models based on probability theory, which can not be widely used.…”

Section: Operational Riskmentioning

confidence: 99%

A Survey of Financial Risk Measurement

Pan¹

2019

Proceedings of the 6th International Conference on Management Science and Management Innovation (MSMI 2019)

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Financial risk management is the core content of financial institutions' management activities, and the basic work of risk management is to measure risk. Choosing appropriate risk measurement indicators and scientific calculation methods is the basis of measuring risk correctly, and also the premise of establishing an effective risk management system. By using literature research methods, this paper collates, analyses and summarizes the theory and practice of risk measurement, points out that there are some limitations in existing risk measurement indicators, and the new risk measurement indicators should be improved in terms of good performance, easy calculation and reasonable testing. Market Risk Market risk refers to the losses that financial institutions may incur in their trading positions in the financial market due to changes in market price factors. Since the collapse of the Bretton Woods

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Section: Operational Riskmentioning

confidence: 99%

A Survey of Financial Risk Measurement

Pan¹

2019

Proceedings of the 6th International Conference on Management Science and Management Innovation (MSMI 2019)

View full text Add to dashboard Cite

show abstract

A Weighted Mean Model for Operational Risk Assessment

Cited by 1 publication

References 2 publications

A Survey of Financial Risk Measurement

A Survey of Financial Risk Measurement

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