Operational risks in banks

Authors

John Evans, University of WollongongFollow
R Womersley, University of New South Wales
Danny Wong, University of New South Wales
Greg A. Woodbury, Ernst & Young

RIS ID

98031

Publication Details

Evans, J., Womersley, R., Wong, D. & Woodbury, G. A. (2008). Operational risks in banks. JASSA, 2008 (2), 1-8.

Link to publisher version (URL)

JASSA

Abstract

Through empirical analysis of operational risk in a bank we derive a model to represent the distribution of losses, which we compare with more traditional models of operational risk. Our findings suggest that the generalised extreme value distribution provides a good fit to the annual loss distribution and that some conventional methods to model severity are inadequate because they neglect the extreme percentiles which are important in the type of analysis required under Basel II. Awarded a 2008 JASSA Merit award.