Connection Parameters of Heavy-tailed Operational Risk Measurement Model and Management Model

DOI

10.2991/jrarc.2016.6.3.2How to use a DOI?

Keywords

operational risk; supervising parameters; elasticity theory; operational VaR

Abstract

In order to connect the heavy-tailed operational risk measurement model with management model, a model identifying the crucial supervising parameters of operational risk is built after the heavy-tailed operational VaR’s sensitivity is theoretically researched by the elasticity analysis method. Further, the analysis of model application is illustrated with a numerical example. The crucial supervising parameters connect the operational risk measurement model and management model, which make the operational risk management frameworks to be a complete system. And a dynamical supervising system of operational risk is established. This research in theory improves the application of loss distribution approach to the operational risk measurement and management.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - JOUR
AU  - Meiling He
AU  - Shutao Qing
AU  - Jianming Mo
AU  - Xiang Gao
PY  - 2016
DA  - 2016/10/03
TI  - Connection Parameters of Heavy-tailed Operational Risk Measurement Model and Management Model
JO  - Journal of Risk Analysis and Crisis Response
SP  - 122
EP  - 134
VL  - 6
IS  - 3
SN  - 2210-8505
UR  - https://doi.org/10.2991/jrarc.2016.6.3.2
DO  - 10.2991/jrarc.2016.6.3.2
ID  - He2016
ER  -