Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis

Index

Accord Implementation Group (AIG), Operational Risk subgroup (AIGOR)

Accord Implementation Group (AIG), purpose

Accounting date

Actual losses, supplementation

Actual results, dispersion

Actuarial models

usage

Additive VaR

AD test. See Anderson-Darling test

Advanced measurement approach (AMA)

usage . See also Operational risk

limitation

qualification

Aggregated operational losses, distribution

Aggregate EL, sum

Aggregate loss correlation, dependent frequencies (impact)

Aggregate loss dependence

Aggregate loss distribution

computation

direct computational approach

inversion method

Monte Carlo approach

Panjer’s recursive method

AIB. See Allied Irish Banks

AIG. See Accord Implementation Group

AIGOR. See Accord Implementation Group, Operational Risk subgroup

Algo OpData

Algo OpVantage

Allied Irish Banks (AIB) ( ), high-magnitude operational loss

Alpha-stable densities, illustration

Alpha-stable distributions

applications . See also Operational loss data

characteristic functions approach

concepts, summary

density function approach, numerical approximation

features, attractiveness

fitting

parameters, estimation

references

variations

Alpha-stable models

Alpha-stable random variable. See also Log-alpha-stable random variable; Symmetric alpha-stable random variable; Truncated alpha-stable random variable

definition

properties

transformations

Alternative hypothesis

Alternative standardized approach (ASA) . See also Operational risk

advantages

AMA. See Advanced measurement approach ...