I am somewhat familiar with OpRisk for pillar 1. As far as I know OpRisk for pillar 1 will be replaced by standard approaches soon. So what is left is proper modelling in pillar 2.

What are best practice and/or regulatory refrences on how an internal model for OpRisk (with the result of a value-at-risk or similar) for pillar 2 should look like?

From a talk on the web I found the usual topics from a loss distribution approach (LDA):

•  Loss Distribution Approach (LDA): frequency/severity, models, heterogeneity
  

•   Modelling large losses: EVT, heavy tailed distributions, single loss approximation
  

•   Estimation: maximum likelihood approach, method of moments; Bayesian, MCMC, EM.
  

•   Combining data and scenario analysis: Bayesian approach, p-boxes, credibility
  

•   Numerical methods for Aggregation of risks: MC, FFT, Panjer recursion
  

•   Capital allocation: Euler allocation, marginal allocations
  

Would the regulatory expect all of this for pillar 2?

I am somewhat familiar with OpRisk for pillar 1. As far as I know OpRisk for pillar 1 will be replaced by standard approaches soon. So what is left is proper modelling in pillar 2.

What are best practice and/or regulatory references on how an internal model for OpRisk (with the result of a value-at-risk or similar) for pillar 2 should look like?

From a talk on the web I found the usual topics from a loss distribution approach (LDA):

•  Loss Distribution Approach (LDA): frequency/severity, models, heterogeneity
  

•   Modelling large losses: EVT, heavy tailed distributions, single loss approximation
  

•   Estimation: maximum likelihood approach, method of moments; Bayesian, MCMC, EM.
  

•   Combining data and scenario analysis: Bayesian approach, p-boxes, credibility
  

•   Numerical methods for Aggregation of risks: MC, FFT, Panjer recursion
  

•   Capital allocation: Euler allocation, marginal allocations
  

Would the regulatory expect all of this for pillar 2?

I am somewhat familiar with OpRisk for pillar 1. As far as I know OpRisk for pillar 1 will be replaced by standard approaches soon. So what is left is proper modelling in pillar 2.

What are best practice and/or regulatory refrences on how an internal model for OpRisk (with the result of a value-at-risk or similar) for pillar 2 should look like?

I am somewhat familiar with OpRisk for pillar 1. As far as I know OpRisk for pillar 1 will be replaced by standard approaches soon. So what is left is proper modelling in pillar 2.

What are best practice and/or regulatory refrences on how an internal model for OpRisk (with the result of a value-at-risk or similar) for pillar 2 should look like?

From a talk on the web I found the usual topics from a loss distribution approach (LDA):

•  Loss Distribution Approach (LDA): frequency/severity, models, heterogeneity
  

•   Modelling large losses: EVT, heavy tailed distributions, single loss approximation
  

•   Estimation: maximum likelihood approach, method of moments; Bayesian, MCMC, EM.
  

•   Combining data and scenario analysis: Bayesian approach, p-boxes, credibility
  

•   Numerical methods for Aggregation of risks: MC, FFT, Panjer recursion
  

•   Capital allocation: Euler allocation, marginal allocations
  

Would the regulatory expect all of this for pillar 2?