Risk Appetite Operational Excellence september 2014

... discipline Risks of a bank Credit Risk Credit Risk Market Risk « Operational risks » Basel (1988) Credit Risk Market Risk Basel (1995) Credit Risk Market Risk Operat Risk Basel (2004) Residual risk ... put the focus on operational risks with an increased attention to fraud related risks • Definition of Operational Risk – The Basel Committee defined operational ris...

Ngày tải lên: 05/12/2016, 17:36

... Settlements Andrew Willis Principles for the Sound Management of Operational Risk and the Role of Supervision Sound Practices for the Management and Supervision of Operational Risk Contents Preface ... Role of Disclosure 18 Appendix: Reference material 19 Principles for the Sound Management of Operational Risk and the Role of Supervision...

Ngày tải lên: 21/02/2014, 11:20

... The Committee is proposing to encompass explicitly risks other than credit and market in the New Basel Capital Accord This proposal reflects the Committee’s interest in making the New Basel Capital ... regulatory operational risk capital calculation These criteria are detailed in the main body of the paper The Committee intends to calibrate the spectrum o...

Ngày tải lên: 06/03/2014, 09:20

... the operational risk management at LienvietPostBank 32 3.1 Legal framework for operational risk management 32 3.2 Actual operational risk management at LienvietPostBank .35 3.2.1 ... 3: Operational risk management at LienVietPostBank CHAPTER 1: THEORETICAL FRAMEWORK ON OPERATIONAL RISK MANAGEMENT IN BANKING Operational risk in banking sector 1.1 Definition of...

Ngày tải lên: 07/03/2014, 15:45

... distributions 5 .15 .1 T VaR for discrete exponential dispersion distributions 5 .16 Exercises 10 7 10 7 10 8 11 0 11 4 f 14 11 8 12 2 12 6 13 0 13 0 13 2 13 2 13 4 13 5 13 6 13 7 14 2 14 4 14 9 15 0 Aggregate loss models 6 .1 Introduction ... extreme value distributions 7 .13 Further reading 7 .14 Exercises 17 4 17 5 17 8 17 9 17 9 18 0 18 3 18 7 18 7 19 0 1...

Ngày tải lên: 09/08/2014, 19:22

... x(O.Ol)dx = 50, x2(0.01)dx= 3,333.33, ( x2 + 2, 000)4 dx = 1,000, 3 (2, 000)3 (x+ 2, 000)4 dx = 4,000,000, + l(0 .25 ) + 2( 0. 12) + 3(0.08) + 4(0.05) = 0.93, E(X:) = O(0.5) + l(0 .25 ) + 4(0. 12) + g(0.08) ... equations (2. 1) and (2. 2), but the result applies t o all random variables I, L m 00 (2 x p ( x - p ) f ( x ) d x= IL2 = = E ( X ) - 2pE(X) p2 = pk - p + + p )f ( z ) d x (2. 3)...

Ngày tải lên: 09/08/2014, 19:22

... profile Number of accidents, k 81Total Number of automobiles, n k 7840 131 7 239 42 14 4 9461 k- nk nk-1 0.17 0 .36 0. 53 1 .33 1. 43 6.00 1.75 against k The observed values should form approximately ... impact of removing or adding a type of risk to the definition of operational risks Suppose that the number of losses for a particular set of types of operational risks follows a Poiss...

Ngày tải lên: 09/08/2014, 19:22

... _ 0. 341 421(0. 049 787) = 0.12 748 7, 7'5(1) 92 = 93 7~5~(')0. 341 421(0.12 748 7)7'5(2)0. 042 678(0. 049 787) = 0.179161, + + =7~5(1)0. 341 421(0.179161) 7'5(2) 0. 042 678(0.12 748 7) +-7.5(3) 0.010670(0. 049 787) ... Then, 30) = 0.12 748 8, 3(1) 3(2) = -0.853553(0.12 748 8) -0.1066 94( 0. 049 787) 2 g3 = "00.853553(0.179163) -0.1066 94( 0.12 748 8) 3(2) 3 = 0.1 841 14 +-0.0266 74( 0. 049...

Ngày tải lên: 09/08/2014, 19:22

... 0.3 355 52 0.337763 0.339967 0.342163 0.344 352 0.34 653 4 0.348709 0. 350 876 0. 353 036 0. 355 189 cdf S* S** S 0.3 355 56 0.339971 0.339971 0.344 357 0.344 357 0.348713 0.348713 0. 353 040 0. 353 040 0. 357 339 ... 0. 353 040 0. 357 339 0.3 355 56 0.337763 0.339970 0.342163 0.344 356 0.34 653 4 0.348712 0. 350 876 0. 353 039 0. 355 189 0.6 655 6 1.32890 1.99003 2.64897 3.3 057 1 3.96027 4....

Ngày tải lên: 09/08/2014, 19:22

... BB6 copula The BB6 copula [62 ] is a two-parameter copula with generator The upper 252 MULTIVARIATE MODELS 02 04 U 0 .6 OB 02 04 U 0 .6 08 Fig 8.15 BB6 copula density (6 = 2 ,6 = 2) Fig 8. 16 BB6 ... In - 6( 1 - u) U , -1 ... copula pdf is shown in Figure 8.2 ARCHIMEDEAN COPULAS , > 02 04 06 U 08 U Fig 8.1 Clayton copula density (6 = 3) Fig 8.2 Clayton copula pdf (6 = 3) 243 244...

Ngày tải lên: 09/08/2014, 19:22

... 81 ,71 4 11,306 1,618 250 40 Table 10.2 Data Set B $ 27 $4 57 $82 $680 $115 $855 $126 $ 877 $155 $ 974 $161 $1193 $243 $1340 $294 $1884 $340 $2558 $384 $15 ,74 3 Table 10.3 Data Set C Payment range 0- $75 00 ... the same type What are the hypotheses for this problem? 27 4 57 82 680 115 855 126 877 155 974 161 1193 243 1340 294 1884 340 2558 384 15 ,74 3 Let p be the population mean One po...

Ngày tải lên: 09/08/2014, 19:22

... 0.04 48 0.0400 1.0000 n(a[x) LAS(a) TXL’ n(ajx)l(a)2 0.0000 0.0000 0.0003 0.00 38 ~ 0.0236 ~ 0. 086 7 0.17 18 0.2293 0.2156 0.1 482 0.07 68 0.03 08 0.00 98 ~ 0.0025 0.0005 0.0001 160,944 1 18, 085 86 ,82 6 ... 5.29~ 2.95~10-~~ .89 ~ 1 ~ - ~ 7.57x10-22 ~ 4.42~ lo-’‘ ~ 6.16~10-~ 1.24x1OW2’ 2 .89 ~10-~~.29~ 2.26 x 5.65 x 10-23 0.0400 0.0496 0.0592 0.0 688 0.0 784 0. 088 0 0. 083 2 0.0 784...

Ngày tải lên: 09/08/2014, 19:22

... 294 340 384 457 680 855 877 97 4 1, 193 1,340 1,884 2,558 3,476 statistic is 0.0 391 0.0778 0. 090 4 0.1227 0.1 292 0.2138 0.2622 0.3033 0.3405 0. 397 9 0.5440 0.6333 0.6433 0.68 39 0.7 594 0. 799 7 0. 898 3 ... 0.7368 0.7 895 0.8421 0. 894 7 0 .94 74 1.oooo 1.0000 0.0 399 0.0388 0.0126 0.0332 0.0070 0. 090 4 0.0501 0.0426 0.03 89 0.0601 0.1 490 0.0 897 0.0 099 0.0407 0.0758 0.0403 0. 099...

Ngày tải lên: 09/08/2014, 19:22

... mzxture/mixzng, 68, 79 modified negative binomial, 204 negative binomial 100 -101 , 104 , 109 , 113, 119, 133, 198, 209, 307 as Poisson mixture, 101 extended truncated, 11 negative hypergeometric, 190 Neyman ... ed., San Diego: Academic Press 105 Scollnik, D (2002) Modeling size-of-loss distributions for exact data in WinBUGS,” Journal of Actuarial Practice, 10, 193-218 106 Self, S an...

Ngày tải lên: 09/08/2014, 19:22

... r i ro tín cho ng Trong quy trình ro tín quan tr l ph ro tín ng kh Không ph l ng bao hàm hai ngân hàng v m ng c ng r i ro m ro ro mà nhà v i t ph m ngh a v h p ng m nh ro mà ngân hàng g ro tín ... NGUY N LÝ DI M KHÁNH NG D NG MÔ HÌNH VALUE AT RISK TRONG VI C NÂNG CAO HI U QU QU N TR R I RO TÍN D NG T I CÁC NGÂN IC PH N VI T NAM CHUYÊN NGÀNH: TÀI C...

Ngày tải lên: 08/08/2015, 01:52