Θεωρία ακραίων τιμών στη διοικητική κινδύνου
Master Thesis
Date
2007-07-17View/
Abstract
The scope of the paper is to present under the appropriate way the meaning of Operational Risk, which is one of the most important types of risk that affects a financial organization and describe the methods that may be used in order to be controlled and decrease its consequences. The meaning of risk is referred, its components are analysed and the most important methods of control are defined. Later on the enterprise risk management is described and the framework of the Operational Risk for banking organizations is presented which is mentioned on the new Basel Capital Accord of the Basel Committee on Banking Supervision of Bank for International Settlements The qualitative criteria that the banks must develop as well as the three possible methods of measurements of Operational Risk are presented, from which the third one is the most complicated, but it is the method where the statistical interest is higher. The quantitative methods of Operational Risk of the latest method are described and there is a reference on the frequency and severity distribution in order to estimate the total operational risk losses. The Extreme Value Theory is mentioned, which is the most appropriate statistical method for the estimation of total Operational Risk losses in high confidence intervals under the assumption that there are adequate data. The methods of block maxima and the method of peaks over threshold are presented. At the end there is a reference on a practical exercise, through data analysis, which data are coming from an exercise of the Basel Committee on Banking Supervision where many banking organizations had been involved.
Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές