Assessment of Operational Risk Capital

  • Carol Alexander


Credit Risk Operational Risk Loss Distribution Risk Type Gaussian Copula 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Alexander C (2002) Rules and Models: Understanding the Internal Measurement Approach to Operational Risk Capital RISK 15:1 pp S2–S5Google Scholar
  2. Alexander C (2003a) Statistical Models of Operational Loss. In: Alexander C (ed.) Operational Risk: Regulation, Analysis and Management FT — Prentice Hall, Pearson Education, LondonGoogle Scholar
  3. Alexander C (2003b) Technical Document for OpRisk2021 Module 1 www.2021solutions.comGoogle Scholar
  4. Alexander C (2003c) Operational Risk Aggregation. In: Operational Risk, 4:4 ppGoogle Scholar
  5. Alexander C, Pezier J (2003a) Binomial Gammas, Operational Risk 2:4 ppGoogle Scholar
  6. Alexander C, Pezier J (2003b) Assessment and Aggregation of Banking Risks 9th Annual Round Table Report of the International Financial Risk Institute (IFCI). www.ifci.chGoogle Scholar
  7. Basle Committee (2001) Working Paper on the Regulatory Treatment of Operational Risk, Consultative Paper 2.5, September 2001, available from www.bis.orgGoogle Scholar
  8. Davidson C (2003) Banks use Op Loss Databases for Qualitative Analysis. Operational Risk 4:11 p18.Google Scholar
  9. Embrechts P, Kluppelberg C, Mikosch T (1991) Modeling Extremal Events. Springer Verlag, BerlinGoogle Scholar
  10. Frachot AP G, Roncalli T (2001) Loss Distribution Approach for Operational Risk. Credit Lyonnais, Paris Scholar
  11. Gumbel EJ (1958) Statistics of Extremes. Columbia University Press, New YorkGoogle Scholar

Copyright information

© Springer Berlin · Heidelberg 2005

Authors and Affiliations

  • Carol Alexander
    • 1
  1. 1.ISMA Center, Business SchoolUniversity of ReadingUK

Personalised recommendations