Robust Estimation Of Operational Risk
Operational risk according to Basel II (2006) covers risks of loss resulting from inadequate or failed internal processes, people or systems, or from external events. Neither is this risk new, nor is the need to measure it. Still, it remains a challenging issue, in particular as far as very large operational losses are concerned, compare De Fontnouvelle et al. (2006). This is reflected by the sizeable amount of media coverage we have seen in the last few years: rogue tradings, e.g., at Daiwa Bank (1984-95), Sumitomo Corp. (1986-96), Barings (1995), and Soci?et?e G?en?erale (2006-2008), losses caused by the 9/11 terrorist attacks (2001), by the B. L. Madoff fraud (1980s-2008), by hurricane Katrina (1995), and by the recent earthquake in Japan (2011).