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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2003.tde-25022022-093911
Document
Author
Full name
Terence Augusto Guimarães
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2003
Supervisor
Committee
Stern, Julio Michael (President)
Pereira, Carlos Alberto de Braganca
Vicente, Renato
Title in Portuguese
Implementação do método de distribuição de perdas para risco operacional
Keywords in Portuguese
Administração de risco
Convoluções
Distribuição de frequência
Simulação (Estatística)
Abstract in Portuguese
Mensurar risco operacional é um grande desafio para as instituições financeiras hoje. À medida que a data de publicação do Novo Acordo de Capital da Basiléia se aproxima, a modelagem de risco operacional está se tornando cada vez mais importante para as instituições financeiras e órgãos reguladores. Os bancos e as empresas financeiras estão em busca de metodologias adequadas para mensuração e proteção contra as perdas de risco operacional. Neste estudo nós implementamos o Método de Distribuição de Perdas como base para mensuração do risco operacional. Adicionalmente à abordagem clássica, nós introduzimos um modelo de distribuição de perdas com recuperações como uma extensão ao modelo padrão. Os resultados obtidos neste estudo foram bastantes motivadores e abrem caminho para futuras pesquisas
Title in English
Implementation of the loss distribution method for operational risk
Keywords in English
Convolutions
Frequency Distribution
Risk Management
Simulation (Statistics)
Abstract in English
Measuring operacional risk is a major challenge in running financial institutions. As the publication date of the New Basel Capital Accord sets closer, modeling operacional risk is becoming increasingly important for financial institutions and regulators. Banks and financial institutions are looking for adequate methodologies to measure and protect against losses from operacional risk. In this work we implement a Loss Distribution Approach (LDA) as plataform for measuring operacional risk. In addition to the classical model, we introduce a loss distribution model with recoveries as an extension to standard model. The results achieved in this work are promissing and motivate future research
 
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Publishing Date
2022-02-25
 
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