Measuring Operational Risk from Loss Data

This reading is a part of the syllabus for FRM Part 2 Exam in the section ‘Operational and Integrated Risk Management'

The reading discusses:

  • Introdution: the regulatory challenge
  • The nature of operational loss distributions
  • Data sufficiency
  • Extrapolating beyond the data
  • Loss distribution approach
  • Validating capital models
  • Summary