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2 résultats pour « lossdistribution »

Correlations in Operational Risk Stress Testing: Use and Abuse

8 juil. 2022 Autre, operationalrisk, oprisk, stresstesting, frequency, modelrisk, lossdistribution, ccar

"Evidence that the COVID-19 pandemic had minimal effect on operational risk losses in 2020 is presented and the effect of model risk is emphasized. Our results show that the existence or otherwise of significant correlations depends on the regression model used, whether data series show trends, the time window concerned, geographical location and the type of financial institution."

Cyber Risk Assessment for Capital Management

18 mai 2022 Autre, cybersecurity, riskassessment, models, lossdistribution, capitalmanagement

"There appears a gap in cyber risk modeling between engineering and insurance literature. This paper presents a novel model to capture these unique dynamics of cyber risk known from engineering and to model loss distributions based on industry loss data and a particular company's cybersecurity profile. The analysis leads to a new tool for allocating resources of the company between cybersecurity investments and loss-absorbing reserves."

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