Browsing Estatística - PPGEs by Subject "Regulatory capital"
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Risco operacional: o cálculo do capital regulatório usando dependência
(Universidade Federal de São Carlos, UFSCar, Programa de Pós-Graduação em Estatística - PPGEs, , 16/01/2014)In this paper we propose a new method for the calculation of regulatory capital required for operational risk. This method is based on some important assumptions for calculation of this capital, for instance, expert opinion, ... -
Dependência entre perdas em risco operacional
(Universidade Federal de São Carlos, UFSCar, Programa de Pós-Graduação em Estatística - PPGEs, , 12/02/2014)In this work, we present and discuss the operational risk in the financial institutions, Basel Accord II, the structure of dependence between cumulative operational losses, a tool for modeling this dependence (theory of ...