Questions tagged [oprisk]
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Modelling operational risk for Basel pillar 2 (internal model for OpRisk VaR)
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 ...
- 211
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Approach to add scenarios to OpRisk loss distribution
There is quite a lot of literature on OpRisk modelling. My question focuses on a loss distribution approach (LDA).
Let's look at a basic model. A Poisson-distributed $N$ and loss sizes $X_i$ and from ...
- 7,997