КОЛИЧЕСТВЕНИ ПОДХОДИ ЗА ОЦЕНКА НА ОПЕРАЦИОННИЯ РИСК ВЪВ ФИНАНСОВИЯ СЕКТОР
QUANTITATIVE EVALUATION OF OPERATIONAL RISK IN THE FINANCIAL SECTOR
Author(s): Anton GerunovSubject(s): Economy, Business Economy / Management, Financial Markets
Published by: Софийски университет »Св. Климент Охридски«
Keywords: risk management; operational risk; quantitative evaluation; value at risk; expected tail loss
Summary/Abstract: The article presents foundational definitions of operational risk and outlines methods for its evaluation in the financial sector. We review the basic, standardized and advanced risk indicators.These are contextually situated and critically evaluated. A Monte Carlo approach to estimating key risk indicators is presented and further elaborated upon. The article concludes with a critical evaluation of the approaches presented and outlines the main challenges to their practical implementation.
Journal: Годишник на Стопанския факултет на СУ „Св. Климент Охридски“
- Issue Year: 20/2021
- Issue No: 1
- Page Range: 37-56
- Page Count: 19
- Language: Bulgarian
