Series: IMF Working Papers
Author(s): Andreas Jobst
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 October 2007
Keywords: financial regulation, Basel Committee, Basel II, New Basel Capital Accord, extreme value theory, generalized extreme value (GEV) distribution, extreme value theory (EVT), generalized Pareto distribution (GPD), peak-over-threshold (POT) method, g-and-h distribution
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel...