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Theses

Measuring and managing operational risk in the insurance and banking sectors

Abstract : Our interest in this thesis is first to combine the different measurement techniques for operational risk in financial companies, and we highlight more and more the consequences of estimation risk which is treated as a particular part of operational risk. In the first part, we will present a full overview of operational risk, from the regulatory laws and regulations to the associated mathematical and actuarial concepts as well as a numerical application regarding the Advanced Measurement Approach, like Loss Distribution to calculate the capital requirement, then applying the Extreme Value Theory. We conclude this first part by setting a scaling technique based on (OLS) enabling us to normalize our external data to a local Lebanese Bank. On the second part, we feature estimation risk by first measuring the error induced on the SCR by the estimation error of the parameters, to having an alternative yield curve estimation and finishing by calling attention to the reflections on assumptions of the calculation instead of focusing on the so called hypothesis "consistent with market values", would be more appropriate and effective than to complicate models and generate additional errors and instability. Chapters in this part illustrate the estimation risk in its different aspects which is a part of operational risk, highlighting as so the attention that should be given in treating our models
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Submitted on : Thursday, August 21, 2014 - 11:37:08 AM
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Elias Karam. Measuring and managing operational risk in the insurance and banking sectors. Business administration. Université Claude Bernard - Lyon I, 2014. English. ⟨NNT : 2014LYO10101⟩. ⟨tel-01057040⟩

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