On Modeling Operational Risk using Extreme Value Theory
(2016) MASM01 20161Mathematical Statistics
 Abstract (Swedish)
 The main goal of this thesis is to show how operational risk can be measured if even the
use of standard extreme value theory fails to explain single catastrophic events in the tail
of the distribution. Against the background of regulatory requirements imposed by the
Basel Accords, an Advanced Measurement Approach (AMA) is developed for a dataset of
operational losses occurred in US businesses between 1985 and 2008.
Two alternative approaches are described for modeling the loss frequency when the
losses are reported by the month. A copula approach is applied to capture dependence
among dierent loss distributions corresponding to dierent event types. The resulting
99:9% ValueatRisk, which determines the capital requirement, is... (More)  The main goal of this thesis is to show how operational risk can be measured if even the
use of standard extreme value theory fails to explain single catastrophic events in the tail
of the distribution. Against the background of regulatory requirements imposed by the
Basel Accords, an Advanced Measurement Approach (AMA) is developed for a dataset of
operational losses occurred in US businesses between 1985 and 2008.
Two alternative approaches are described for modeling the loss frequency when the
losses are reported by the month. A copula approach is applied to capture dependence
among dierent loss distributions corresponding to dierent event types. The resulting
99:9% ValueatRisk, which determines the capital requirement, is compared to a model
assuming perfect dependence. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/studentpapers/record/8877010
 author
 Kästner, Valentin
 supervisor

 Nader Tajvidi ^{LU}
 organization
 course
 MASM01 20161
 year
 2016
 type
 H2  Master's Degree (Two Years)
 subject
 language
 English
 id
 8877010
 date added to LUP
 20160603 11:06:29
 date last changed
 20160603 11:06:29
@misc{8877010, abstract = {The main goal of this thesis is to show how operational risk can be measured if even the use of standard extreme value theory fails to explain single catastrophic events in the tail of the distribution. Against the background of regulatory requirements imposed by the Basel Accords, an Advanced Measurement Approach (AMA) is developed for a dataset of operational losses occurred in US businesses between 1985 and 2008. Two alternative approaches are described for modeling the loss frequency when the losses are reported by the month. A copula approach is applied to capture dependence among dierent loss distributions corresponding to dierent event types. The resulting 99:9% ValueatRisk, which determines the capital requirement, is compared to a model assuming perfect dependence.}, author = {Kästner, Valentin}, language = {eng}, note = {Student Paper}, title = {On Modeling Operational Risk using Extreme Value Theory}, year = {2016}, }