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Correct answer is Cffice ffice" />
ffice:smarttags" />I. is VALID ? detailed data about operational losses in all areas of an institution must be collected to calculate VaR and generally this data is not available.
II. is VALID ? in particular, it is likely that internal data will not include any high severity operational risk events since many firms do not survive such an event
III. is VALID ? because of differences in business units, risk controls and culture, external data tends to be highly subjective and non-uniform
IV. is VALID ? estimating the correlation of operational risk events across different business units requires significant data which generally is not available.
Reference: Allen, Boudoukh and Saunders, Understanding Market, Credit and Operational Risk: The Value at Risk Approach, Chapter 5, pp. 162 ? 165. | 
发表于 2009-6-13 10:59
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