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Statistical Models for Operational Risk

Statistical Models for Operational Risk

Concetto Elvio Bonafede
Copyright: © 2009 |Pages: 6
ISBN13: 9781605660103|ISBN10: 1605660108|EISBN13: 9781605660110
DOI: 10.4018/978-1-60566-010-3.ch282
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MLA

Bonafede, Concetto Elvio. "Statistical Models for Operational Risk." Encyclopedia of Data Warehousing and Mining, Second Edition, edited by John Wang, IGI Global, 2009, pp. 1848-1853. https://doi.org/10.4018/978-1-60566-010-3.ch282

APA

Bonafede, C. E. (2009). Statistical Models for Operational Risk. In J. Wang (Ed.), Encyclopedia of Data Warehousing and Mining, Second Edition (pp. 1848-1853). IGI Global. https://doi.org/10.4018/978-1-60566-010-3.ch282

Chicago

Bonafede, Concetto Elvio. "Statistical Models for Operational Risk." In Encyclopedia of Data Warehousing and Mining, Second Edition, edited by John Wang, 1848-1853. Hershey, PA: IGI Global, 2009. https://doi.org/10.4018/978-1-60566-010-3.ch282

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Abstract

A statistical model is a possible representation (not necessarily complex) of a situation of the real world. Models are useful to give a good knowledge of the principal elements of the examined situation and so to make previsions or to control such a situation. In the banking sector, models, techniques and regulations have been developed for evaluating Market and Credit risks, for linking together risks, capital and profit opportunity. The regulations and vigilance standards on the capital have been developed from the Basel Committee founded at the end of 1974 by the G10. The standards for the capital’s measurement system were defined in 1988 with the “Capital Accord” (BIS, 1988); nowadays, it is supported from over 150 countries around the world. In January 2001 the Basel Committee published the document “The New Basel Capital Accord” (BIS, 2001), which is a consultative document to define the new regulation for the bank capital requirement. Such a document has been revisited many times (see BIS, 2005). With the new accord there is the necessity of appraising and managing, beyond the financial risks, also the category of the operational risks (OR) already responsible of losses and bankruptcies (Cruz (Ed.), 2004; Alexander (Ed.), 2003; Cruz, 2002).

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