The optimal operational risk capital requirement by applying the advanced measurement approach

DOI10.1007/s10100-011-0206-7zbMath1339.91129OpenAlexW2064041299MaRDI QIDQ300958

Tyrone T. Lin, Chia-Chi Lee, Yu-Chuan Kuan

Publication date: 29 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-011-0206-7

zbMATH Keywords

extreme value theoryoperational riskadvanced measurement approachBasel II capital accordcapital requirement

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

Related Items (1)

Multiobjective optimization of credit capital allocation in financial institutions

Cites Work

• Assessing performance factors in the UK banking sector: a multicriteria methodology

This page was built for publication: The optimal operational risk capital requirement by applying the advanced measurement approach