Measuring operational risk exposures in Islamic Banking : a proposed measurement approach
Author
Source
Islamic Research and Training Institute
Issue
Vol. 2010, Issue 1-3 (31 Dec. 2010), pp.1-32, 32 p.
Publisher
Islamic Development Bank (IDB) Islamic Research and Training Institute (IRTI)
Publication Date
2010-12-31
Country of Publication
Saudi Arabia
No. of Pages
32
Main Subjects
Financial and Accounting Sciences
Islamic Studies
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. 2010. Measuring operational risk exposures in Islamic Banking : a proposed measurement approach. Islamic Research and Training Institute،Vol. 2010, no. 1-3, pp.1-32.
https://search.emarefa.net/detail/BIM-600863
Modern Language Association (MLA)
Izhar, Hylmun. Measuring operational risk exposures in Islamic Banking : a proposed measurement approach. Islamic Research and Training Institute No. 1-3 (2010), pp.1-32.
https://search.emarefa.net/detail/BIM-600863
American Medical Association (AMA)
Izhar, Hylmun. Measuring operational risk exposures in Islamic Banking : a proposed measurement approach. Islamic Research and Training Institute. 2010. Vol. 2010, no. 1-3, pp.1-32.
https://search.emarefa.net/detail/BIM-600863
Data Type
Journal Articles
Language
English
Notes
Includes appendix : p. 27-32
Record ID
BIM-600863