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Case Studies | Finance | Morocco | Volume 8 Issue 11, November 2019 | Popularity: 7 / 10

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Evaluation of Operational Risk by the Application of the LDA Method - The Case of Popular Bank

EL HADDAD Mohamed Yassine, NAIT BOUBKER Hanane

Abstract: This paper examines operational risk and the advanced measurement approach to quantify it in order to determine the capital requirements to cover the resulting losses. The objective of this study is to evaluate the degree of exposure of Popular bank to operational risks through the advanced measurement approach and more specifically through the LDA (Loss Distribution Approach) model which is based on the aggregation of two data distributions estimated during the study: the severity distribution (which reflects the impact of the risk on the bank) and the frequency distribution (which reflects the probability of risk occurrence).

Keywords: Operational Risk, Advanced Measurement Approach, LDA, Operational Risk Mapping

Edition: Volume 8 Issue 11, November 2019

Pages: 699 - 705

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