Capital Requirements to Cover Operational Risk in Financial Institutions of Emerging Markets. A Gaussian Copula Model

Capital Requirements to Cover Operational Risk in Financial Institutions of Emerging Markets. A Gaussian Copula Model

Context: Advanced Measurement Approach (AMA) has been the umbrella to identify the models used for modeling the capital to cover Operational Risk (Total Operational Value at Risk, OpVaR) in financial institutions in developed countries. The Loss Distribution Approach (LDA) has been the most popular...

Full description

Bibliographic Details
Main Authors: Betty Johanna Garzon-Rozo, Claudia Paola Martín Bernal, Feizar Javier Rueda Velasco
Format: Article
Language:Spanish
Published: Universidad Distrital Francisco José de Caldas 2022-01-01
Series:Ingeniería
Subjects:
operational risk
loss distribution approach (lda)
multivariate copulas
emerging markets
Online Access:https://revistas.udistrital.edu.co/index.php/reving/article/view/18575

Internet

https://revistas.udistrital.edu.co/index.php/reving/article/view/18575

Similar Items