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Operational risk is a risk which has the characteristic of low frequency, high severity so that the data are known actually quite limited. This characteristics are very endanger because if it do not reserve a number of money then the institution will be bankrupt. Operational risk usually is not dist...
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id-itb.:186502017-09-27T11:43:12Z#TITLE_ALTERNATIVE# RETNO AYUNINGRUM, HIRA Indonesia Final Project Operational Risk, Value at Risk ,Loss Distribution Approach, Copula INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/18650 Operational risk is a risk which has the characteristic of low frequency, high severity so that the data are known actually quite limited. This characteristics are very endanger because if it do not reserve a number of money then the institution will be bankrupt. Operational risk usually is not distributed normally. Mostly financial institutions not only have one business line, so it is necessary to construct some methods to determine the dependence of each business line. In this research, Value at Risk (VaR) estimating by Loss Distrubution Approach (LDA) method is studied Copula will be utilized to describe the dependence of two business. The advantage of Copula is it can provide the dependency structure of some Non-Gaussian marginal and some numerical experiments are done to see the effectiveness of the method in estimating VaR. text |
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Operational risk is a risk which has the characteristic of low frequency, high severity so that the data are known actually quite limited. This characteristics are very endanger because if it do not reserve a number of money then the institution will be bankrupt. Operational risk usually is not distributed normally. Mostly financial institutions not only have one business line, so it is necessary to construct some methods to determine the dependence of each business line.
In this research, Value at Risk (VaR) estimating by Loss Distrubution Approach (LDA) method is studied Copula will be utilized to describe the dependence of two business. The advantage of Copula is it can provide the dependency structure of some Non-Gaussian marginal and some numerical experiments are done to see the effectiveness of the method in estimating VaR. |
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RETNO AYUNINGRUM, HIRA |
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RETNO AYUNINGRUM, HIRA #TITLE_ALTERNATIVE# |
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RETNO AYUNINGRUM, HIRA |
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