Modelling Operational Risk

    In this article we calculate the operational risk capital requirement through a simple internal model approach, and compare the capital requirement with the Solvency II Standard Formula. We explain how the Loss Distribution Approach (LDA) can be utilized to model the operational risk by using loss databases, and show in a stepwise procedure how one can predict the maximum loss that will occur in a single year.

    Part 3 Modeling Operational Risk

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    Part 3 Modeling Operational Risk

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