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Numerical modelling of operational risks for the banking industry

机译:银行业运营风险的数值模型

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In Basel II Capital Accord, the Advanced Measurement Approaches (AMA) is stated as one of the pillar stone methods for calculating corporate risk reserves. One of the common yet cumbersome methods is the one known as loss distribution approach. In this article, we present an easy to implement scheme through electronic means and discuss some of the mathematical problems we encountered in the process together with proposed solution methods and further thought on the issues.
机译:在巴塞尔II资本协议中,先进的测量方法(AMA)被称为计算企业风险储备的支柱石材方法之一。其中一个常见的繁琐的方法是称为损耗分布方法的方法之一。在本文中,我们通过电子手段展示了一个易于实施的方案,并讨论了我们在该过程中遇到的一些数学问题以及提出的解决方案方法以及对问题的进一步思考。

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