This paper proposes an approach to calculating operational risk using an internal model that distinguishes frequency risks from severity risks. Frequency risks are defined as the risk of suffering small losses frequently. They are modelled by the Loss Distribution Approach. Severity risks represent the risk of large but rare losses. They are modelled by Bayesian networks.
Source
Scor
Length of Resource
8 pages
Resource File
Date Published
Publication Type
paper
Resource Type
academic