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Quantifizierung operationeller Risiken: Der Loss Distribution Approach

Im Rahmen der aktuellen Diskussion über die effektive Messung operationeller Risiken auf der Basis interner Modelle hat vor allem der Loss Distribution Approach in der Literatur besondere Beachtung gefunden. Dieser Ansatz hat seine Wurzeln in einem traditionellen Ansatz der Versicherungsmathematik, der kollektiven Risikotheorie.
Die vorliegende Ausarbeitung stellt daher die kollektive Risikotheorie in ihren Grundelementen dar, stellt die Verbindung zur Modellierung operationeller Risiken her und gibt einen Überblick über aktuelle Entwicklungen im Rahmen des Loss Distribution Approach.

Quantification of operational risks: The Loss Distribution Approach

Given the current discussion on an effective measurement of operational risks on the basis of internal models, the Loss Distribution Approach has obtained special attention in the litera-ture. This approach has its roots in a traditional field of insurance mathematics, the collective theory of risks.

The present contribution presents the basic elements of collective risk theory, establishes the connection to the modelling of operational risks and gives an overview on recent develop-ments of the Loss Distribution Approach.

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Any party may pass on this Work by electronic means and make it available for download under the terms and conditions of the Digital Peer Publishing Licence. The text of the license may be accessed and retrieved via Internet at http://www.dipp.nrw.de/lizenzen/dppl/dppl/DPPL_v2_en_06-2004.html

Created by RedaktionGRIR
Last modified 2007-06-11 01:11 PM
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