241-253

• Brdar Turk, Aleksandra

A possible modified use of the New Basel Accord’s LDA capital adequacy calculation method isproposed, including expert’s estimates in addition to available historical data and using calculation methodsfrom the Extreme Value Theory (EVT). In financial institutions with short histories the operational risk lossesfollow a fat-tailed distribution from the EVT, which is why an EVT-based model is most suitable for theiranalysis. In cases of small historical data samples the addition of experts’ estimates and the use of simulateddata provides for both a simple and a reliable model to be used for operational risk management by identifyingkey business areas and key risk factors in both smaller financial institution as well as larger financialinstitutions, sub-divided into smaller comprehensive sections.

• Economics and Business

• Διοίκηση επιχειρήσεων
• risk management
• Business management

operational risk, extreme value theory, quantitative model

Περιέχει γραφήματα, πίνακες και βιβλιογραφία