TY  - JOUR
AU  - de Fontnouvelle, Patrick
AU  - Jordan, John
AU  - Rosengren, Eric
TI  - Implications of Alternative Operational Risk Modeling Techniques
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11103
PY  - 2005
Y2  - February 2005
DO  - 10.3386/w11103
UR  - http://www.nber.org/papers/w11103
L1  - http://www.nber.org/papers/w11103.pdf
N1  - Author contact info:
Patrick de Fontnouvelle
Federal Reserve Bank of Boston
600 Atlantic Avenue
Boston, MA  02106
E-Mail: Patrick.deFontnouvelle@bos.frb.org

John Jordan
Fitch Risk
17 State Street
New York, NY 10004
Tel: 212 908 0861
E-Mail: John.Jordan@fitchrisk.com

Eric Rosengren
Federal Reserve Bank of Boston
600 Atlantic Avenue
Boston, MA 02106
Tel: 617/973-3090
E-Mail: eric.rosengren@bos.frb.org
M1  - published as Patrick de Fontnouvelle, Eric Rosengren, John Jordan. "Implications of Alternative Operational Risk Modeling Techniques," in Mark Carey and René M. Stulz, editors, "The Risks of Financial Institutions" University of Chicago Press (2006)

AB  - Quantification of operational risk has received increased attention with the inclusion of an explicit capital charge for operational risk under the new Basle proposal. The proposal provides significant flexibility for banks to use internal models to estimate their operational risk, and the associated capital needed for unexpected losses. Most banks have used variants of value at risk models that estimate frequency, severity, and loss distributions. This paper examines the empirical regularities in operational loss data. Using loss data from six large internationally active banking institutions, we find that loss data by event types are quite similar across institutions. Furthermore, our results are consistent with economic capital numbers disclosed by some large banks, and also with the results of studies modeling losses using publicly available "external" loss data.
ER  -