Measuring operational risk exposures in Islamic Banking : a proposed measurement approach
Author
Source
Issue
Vol. 20, Issue 1 (30 Jun. 2012), pp.45-86, 42 p.
Publisher
Islamic Development Bank (IDB) Islamic Research and Training Institute (IRTI)
Publication Date
2012-06-30
Country of Publication
Saudi Arabia
No. of Pages
42
Main Subjects
Financial and Accounting Sciences
Topics
Abstract EN
The aim of the paper is to propose a model, namely Delta-Gamma Sensitivity Analysis-Extreme Value Theory (DGSA-EVT).
DGSA-EVT is a model to measure HF-LS and LF-HS type of operational risks.
The first leg of the proposed model, namely DGSA, is a methodology that deals with propagation of errors in the value adding activities which works by using measures of fluctuations in the activities.
The sensitivities of the output, hence, are deployed to estimate the performance volatility.
Furthermore, the second leg of the proposed model, Extreme Value Theory (EVT), is a technique to cater for an excess operational loss over a defined threshold which is normally characterised by low frequency and high severity (LF-HS) type of loss.
American Psychological Association (APA)
Izhar, Hylmun. 2012. Measuring operational risk exposures in Islamic Banking : a proposed measurement approach. Islamic Economic Studies،Vol. 20, no. 1, pp.45-86.
https://search.emarefa.net/detail/BIM-328456
Modern Language Association (MLA)
Izhar, Hylmun. Measuring operational risk exposures in Islamic Banking : a proposed measurement approach. Islamic Economic Studies Vol. 20, no. 1 (Jun. 2012), pp.45-86.
https://search.emarefa.net/detail/BIM-328456
American Medical Association (AMA)
Izhar, Hylmun. Measuring operational risk exposures in Islamic Banking : a proposed measurement approach. Islamic Economic Studies. 2012. Vol. 20, no. 1, pp.45-86.
https://search.emarefa.net/detail/BIM-328456
Data Type
Journal Articles
Language
English
Notes
Includes appendices : p. 79-86
Record ID
BIM-328456