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OIRM-8-a-review-of-the-key-issues-in-operational-risk-capital-modeling.html
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<!doctype html>
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<title>Operational and Integrated Risk Management | Chapter 8 | A Review of the Key Issues in Operational Risk Capital Modeling</title>
<meta name="description" content="Financial Risk Manager Part 2 Study Materials">
<meta name="author" content="MacLane Wilkison">
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<section>
<h1>Chapter 8</h1>
<h3>A Review of the Key Issues in Economic Risk Capital Modeling</h3>
<p>
<small>Created for <a href="http://alchemistsacademy.com">Alchemists Academy</a> by <a href="http://alchemistsacademy.com/about">MacLane Wilkison</a></small>
</p>
</section>
<section>
<h2>Loss Distribution Approach (LDA)</h2>
<ul>
<li>Couples the severity distribution of loss form a single event with a frequency distribution of events over a given horizon to arrive at the aggregate loss distribution for a given type of event over the horizon</li>
</ul>
</section>
<section>
<h2>Dataset Issues</h2>
<ul>
<li>Internal data</li>
<ul>
<li>Classification</li>
<li>Length of sample</li>
<li>Frequency</li>
<li>Severity</li>
<li>Delays in reporting</li>
<li>Protracted/split events</li>
<li>Mergers & acquisitions</li>
</ul>
<li>External data</li>
<ul>
<li>Relevance of data points</li>
<li>Quantity of data points</li>
<li>Nature of the information in an external database</li>
<li>Reporting bias</li>
<li>Scale bias</li>
</ul>
</ul>
</section>
<section>
<h2>Frequency and Severity Distributions</h2>
<ul>
<li>Frequency distribution alternatives:</li>
<ul>
<li>Binomial, Poisson, and negative binomial</li>
</ul>
<li>Single vs. piecewise severity distributions</li>
</ul>
</section>
<section>
<h1>THE END</h1>
<h3><a href="http://alchemistsacademy.com">AlchemistsAcademy.com</a></h3>
</section>
</div>
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