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Basel II and the Quantification of IT Risks with the Loss Distribution Approach

ByPeter Dely

As a consequence of the Basel II Accord banks have to quantify their operational risk. Under the most sophisticated quantification approac. A widespread method is the Loss Distribution Approach, which calculates risk measures using statistical methods and a database of historical loss events. Since IT risks are a subcategory of operational risks, the Loss Distribution Approach is, under certain conditions, applicable to IT risks.

Details

Publication Date
Sep 30, 2011
Language
German
Category
Computers & Technology
Copyright
All Rights Reserved - Standard Copyright License
Contributors
By (author): Peter Dely

Specifications

Format
PDF

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