New Approaches to Modelling Operational Risk in the Light of the Basel II Accord

  • Moosa, Imad, (Primary Chief Investigator (PCI))
  • Silvapulle, Param (Chief Investigator (CI))

Project: Research

Project Description

Globalization, crime, terrorism and e-commerce have notably increased the risk of running a business. As huge financial losses due to such risks have devastating impacts on investors, the Basel II Accord requires that all internationally active banks hold capital against operational risk. Banks are unhappy that the approaches suggested by the Accord may result in unnecessarily high capital charges. This project proposes new approaches for measuring operational risk and testing the effects of loss events. The outcome of this project would help banks to calculate capital charges that are not unduly high and for improving the risk management framework.
StatusFinished
Effective start/end date2/01/0831/12/10

Funding

  • Australian Research Council (ARC): AUD78,763.00
  • Australian Research Council (ARC): AUD78,763.00