Calculating operational value-at-risk (OpVaR) in a retail bank
The management of operational value-at-risk (OpVaR) in financial institutions is presented by means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. A clear distinction between economic and regulatory capital is made, as wel...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2012-05-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/374 |