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Operations Research Proceedings 2006 pp 453–457Cite as

Die Anwendung des Verlustverteilungsansatzes zur Quantifizierung operationeller Risiken

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Part of the book series: Operations Research Proceedings ((ORP,volume 2006))

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Der vorliegende Beitrag zeigt die in der WestLB angestrebte Anwendung des Verlustverteilungsansatzes, der zur Quantifizierung operationeller Risiken nach der Basel II-Rahmenvereinbarung herangezogen werden kann. Der Verlustverteilungsansatz gehört zur Klasse der fortgeschrittenen Messverfahren für operationelle Risiken und stellt in dieser den in der Bankenlandschaft am weitesten verbreiteten Ansatz dar.

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References

  1. Basel Committee on Banking Supervision (2004) International convergence of capital measurement and capital standards, a revised framework

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  5. Frachot A, Roncalli T, Salomon E (2005) Correlation and diversification effects in operational risk modelling. In: Davis E (ed) Operational risk. Practical approaches to implementation. Risk Books, London

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Author information

Authors and Affiliations

  1. WestLB, Düsseldorf, Germany

    Frank Beekmann & Peter Stemper

Authors
  1. Frank Beekmann
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  2. Peter Stemper
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Editor information

Editors and Affiliations

  1. Institut für Wirtschaftstheorie und Operations Research, Universität Karlsruhe (TH), Kaiserstraße 12, 76131, Karlsruhe, Germany

    Karl-Heinz Waldmann  & Ulrike M. Stocker  & 

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© 2007 Springer-Verlag Berlin Heidelberg

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Beekmann, F., Stemper, P. (2007). Die Anwendung des Verlustverteilungsansatzes zur Quantifizierung operationeller Risiken. In: Waldmann, KH., Stocker, U.M. (eds) Operations Research Proceedings 2006. Operations Research Proceedings, vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69995-8_72

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