Gestione del rischio operativo : stima e simulazione frattale della distribuzione delle perdite operative
Tesi di Dottorato
Data di Pubblicazione:
2009
Citazione:
Gestione del rischio operativo : stima e simulazione frattale della distribuzione delle perdite operative / L. Orsi ; D. La Torre, L. Pilotti, M. Benassi. DIPARTIMENTO DI SCIENZE ECONOMICHE, AZIENDALI E STATISTICHE, 2009 Apr 01. 21. ciclo, Anno Accademico 2007/2008.
Abstract:
The main aim of this thesis consists of introducing an alternative method
for estimating the distribution of operational losses and to show how one can avoid
the Loss Distribution Approach (LDA) and Extreme Value Theory (EVT) problems using an alternative estimation
technique based on fractal analysis. The Loss Distribution Approach (LDA) is the
classical method used in this context and it involves actuarial mathematics models;
the literature has shown as few data on the operational loss events can lead to distortions
in the estimation of the effective distribution. This work describes a new
quantitative analysis for operational risk measurement based on fractal estimations
and simulations of data series. The fractal distribution function estimator has been
studied by Iacus and La Torre, where they showed, through a Monte Carlo analysis,
that this estimator works better than the empirical distribution function estimator
when small samples are considered. We apply this technique to the loss distribution
function estimation using an Italian banking group database and we compare it with
the LDA methodology
Tipologia IRIS:
13 - Tesi di dottorato discussa entro ottobre 2010
Keywords:
Operational risk ; Quantitative risk management
Elenco autori:
L. Orsi
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