Operational risk: a practitioner's view
The Basel Committee on Banking Supervision ("the Committee") released aconsultative document that included a regulatory capital charge for operationalrisk. Since the release of the document, the complexity of the concept of "operationalrisk" has led to vigorous and recurring discussions.
Online references:
Embrechts, P. (ed.) (2000). Extremes and Integrated Risk Management. Risk Books, London.
Lindskog, F., and McNeil, A. J. (2001). Common Poisson shock models: applications to insuranceand credit risk modelling. Preprint, ETH Zürich.
Rabin, M. (1998). Psychology and economics. Journal of Economic Literature 36, March,11–46.
Tasche, D. (2002). Expected shortfall and beyond. Journal of Banking and Finance 26(7),1523–37.
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