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How are Loss Distribution Approaches Being Used?

Mash Risk Television

Federal Reserve Bank of New York
Ronald Stroz, Assistant Vice President

Runtime: 1:56

Key Takeaways

  1. Many institutions using Loss Distribution Approaches (LDA) to calculate economic and regulatory capital.
  2. LDAs commonly use data points from losses and scenario analysis to calculate a frequency and severity distribution for operational risk exposure.
  3. Modeling to calculate operational risk exposure often done at 99.9% confidence level over a one year period.
  4. Independent validation and documentation of the model is important.

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