Operational Risk Model
Risk Lighthouse advises banks in implementing of Basel II Advanced Measurement Approach to Operational Risk Modeling.
The analysis of operational risk consists, in part, of the collection of data and the building of mathematical models to describe risk. The accuracy of risk measurement methods crucially depends on the availability of data and soundness of risk model. Our framework facilitates consistent integration of three types of data sources:
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External industry data of operational losses
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Risk assessment data (likelihood and consequences)
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The bank's own historical loss experience data.
Risk Lighthouse has developed our proprietary OPERisk model, an Excel-VBA Tool for streamline calibration of loss distributions:
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Size of losses model involving extreme value theory
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Poisson frequency models that link with Sigma methodology in quality control
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Aggregate loss modeling using the Panjer recursion
Risk Lighthouse LLC is pleased to release its operational risk model (OPERisk) for calculating capital requirements:
References: Operational Risk: Modeling Analytics, by Harry H. Panjer, ISBN:978-0-471-76089-4, July 2006.