Skip to content
MathWorks - Mobile View
  • Accedere al proprio MathWorks AccountAccedere al proprio MathWorks Account
  • Access your MathWorks Account
    • Il Mio Account
    • Il mio Profilo utente
    • Associa Licenza
    • Disconnettiti
  • Prodotti
  • Soluzioni
  • Università
  • Assistenza
  • Community
  • Eventi
  • Acquista MATLAB
MathWorks
  • Prodotti
  • Soluzioni
  • Università
  • Assistenza
  • Community
  • Eventi
  • Acquista MATLAB
  • Accedere al proprio MathWorks AccountAccedere al proprio MathWorks Account
  • Access your MathWorks Account
    • Il Mio Account
    • Il mio Profilo utente
    • Associa Licenza
    • Disconnettiti

Video e Webinar

  • MathWorks
  • Video
  • Home Video
  • Cerca
  • Home Video
  • Cerca
  • Contatta l’ufficio addetto alle vendite
  • Software di prova
37:42 Video length is 37:42.
  • Description
  • Related Resources

Operational Risk Modeling

Aniruddho Sanyal, Wolters Kluwer

In order to apply the advanced measure approach (AMA), it is necessary to bring together a number of components. The regulatory guidance from Basel names these components—such as internal data, external data, BEICF, and scenario analysis—but stops short of providing detailed guidance on how to use them together to get to an operational value at risk that is inclusive of all these inputs.  A key factor in gaining approval from the regulator to use AMA calculations is getting approval for the calculation methodology. Wolters Kluwer Financial Services (WKFS) recommends combining internal loss data and scenario analysis to arrive at an AMA capital measure as described by the Dutta-Babbel Change of Measure (COM) approach. It is, in fact, a robust way to apply the loss distribution approach (LDA).

The WKFS of implementation of the Dutta-Babbel COM model directly deals with problem that some lines of business (LOBs) or event types especially for newly acquired subsidiaries may have data-scarcity-related challenges. WKFS has preconfigured their system to use to use the Dutta-Babbel COM approach to calculation, including a proprietary .xla add-in that invokes the use of the MATLAB Runtime. This presentation also looks into MATLAB Compiler™ as a powerful development tools.

Recorded: 9 Apr 2014

Related Products

  • MATLAB
  • Econometrics Toolbox
  • Financial Toolbox
  • MATLAB Compiler

Bridging Wireless Communications Design and Testing with MATLAB

Read white paper

Feedback

Featured Product

MATLAB

  • Request Trial
  • Get Pricing

Up Next:

2:33
Wolters Kluwer Delivers Operational Risk Capital Modeling...

Related Videos:

28:33
Basel 2 Advanced Internal Rating-Based Credit Risk Modeling...
24:54
Building an Internal Risk System with MATLAB
1:08:49
Analyze, Model and Simulate Energy Risk with MATLAB - a SAP...
2:24
ARPM and KKR Find Practical Quantitative Solutions to...

View more related videos

MathWorks - Domain Selector

Select a Web Site

Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .

  • Switzerland (English)
  • Switzerland (Deutsch)
  • Switzerland (Français)
  • 中国 (简体中文)
  • 中国 (English)

You can also select a web site from the following list:

How to Get Best Site Performance

Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.

Americas

  • América Latina (Español)
  • Canada (English)
  • United States (English)

Europe

  • Belgium (English)
  • Denmark (English)
  • Deutschland (Deutsch)
  • España (Español)
  • Finland (English)
  • France (Français)
  • Ireland (English)
  • Italia (Italiano)
  • Luxembourg (English)
  • Netherlands (English)
  • Norway (English)
  • Österreich (Deutsch)
  • Portugal (English)
  • Sweden (English)
  • Switzerland
    • Deutsch
    • English
    • Français
  • United Kingdom (English)

Asia Pacific

  • Australia (English)
  • India (English)
  • New Zealand (English)
  • 中国
    • 简体中文Chinese
    • English
  • 日本Japanese (日本語)
  • 한국Korean (한국어)

Contact your local office

  • Contatta l’ufficio addetto alle vendite
  • Software di prova

MathWorks

Accelerating the pace of engineering and science

MathWorks è leader nello sviluppo di software per il calcolo matematico per ingegneri e ricercatori

Scopri…

Scopri i nostri prodotti

  • MATLAB
  • Simulink
  • Software per studenti​
  • Supporto hardware
  • File Exchange

Prova o Acquista

  • Download
  • Software di prova
  • Contattaci
  • Prezzi e licenze
  • Come acquistare

Impara ad utilizzare i nostri prodotti

  • Documentazione
  • Tutorial
  • Esempi
  • Video e Webinar
  • Formazione

Ricevi supporto tecnico

  • Aiuto all'installazione
  • MATLAB Answers
  • Consulenza
  • License Center
  • Contatta l'assistenza

Informazioni su MathWorks

  • Lavora con noi
  • Sala stampa
  • Missione sociale​
  • Casi dei clienti
  • Informazioni su MathWorks
  • Select a Web Site United States
  • Centro di fiducia
  • Marchi
  • Informativa sulla privacy
  • Antipirateria
  • Stato dell'applicazione

© 1994-2022 The MathWorks, Inc.

  • Facebook
  • Twitter
  • Instagram
  • YouTube
  • LinkedIn
  • RSS

Unisciti alla discussione