Modelling the Frequency of Operational Risk Losses under the Basel II Capital Accord: A Comparative study of Poisson and Negative Binomial Distributions

Doctoral thesis English OPEN
Silver, Toni O.;

2013 dissertation for MSc in Finance and Risk Management. Selected by academic staff as a good example of a masters level dissertation. \ud \ud This study investigated the two major methods of modelling the frequency of\ud operational losses under the BCBS Accord of 199... View more
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    1. INTRODUCTION Sequel to major catastrophic operational losses (Barings Bank, 1995; Enron, 2001; Allied Irish Bank, 2002; National Australia Bank, 2004; Nationwide,

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