Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions

Andreatta, Claudio; Mazza, Diego

doi:10.21314/jop.2013.121

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“…12 Among the articles concerned with Pillar I (almost 49%), the subcategory "Estimation" received the most attention. Articles within this subcategory develop various models to measure regulatory capital against operational risk (see, e.g., [25][26][27][28][29][30][31][32][33][34]). The second largest topic (with 79 articles) is the "Application" of different models on the systematically collected internal or external operational loss databases (see, for instance, [5,[35][36][37][38][39][40][41][42][43][44]).…”

Section: Pillar Imentioning

confidence: 99%

Operational Risk Management in Financial Institutions: A Literature Review

Pakhchanyan

2016

IJFS

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Following the three-pillar structure of the Basel II/III framework, the article categorises and surveys 279 academic papers on operational risk in financial institutions, covering the period from 1998 to 2014. In doing so, different lines of both theoretical and empirical directions for research are identified. In addition, this study provides an overview of existing consortia databases and other publicly available sources on operational loss that may be incorporated into empirical research, as well as in risk measurement processes by financial institutions. Finally, this paper highlights the research gaps in operational risk and outlines recommendations for further research.

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