Gustafsson, Jim
[Verfasser:in]
;
Guillen, Montserrat
[Sonstige Person, Familie und Körperschaft];
Nielsen, Jens Perch
[Sonstige Person, Familie und Körperschaft];
Pritchard, Paul
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 15, 2007 erstellt
Beschreibung:
We present a method to combine expert opinion on the likelihood of under-reporting with an operational risk dataset: Under-reporting means that not all losses are identified and that incorrect distributional assumptions may be made and ultimately an incorrect assessment made of capital required. Our approach can be applied to help insurers and other financial services companies make better assessments of capital requirements for operational risk using either external or internal sources. We conclude that operational risk capital evaluation can be significantly biased if under-reporting is ignored