Abstract
Operational risk management and measurement has been paid an increasing attention in last years. This paper focuses on operational risk measurement techniques and on economic capital estimation methods.
A data sample of operational losses provided by an anonymous Central European bank is analyzed using several approaches. Two main problems are assessed in this paper - what is the most appropriate statistical method to measure and model operational loss data distribution and what is the impact of hypothetical plausible events on the financial institution.
The g&h distribution was evaluated to be the most suitable one for operational risk modeling because its results are consistent even while using a scenario analysis method.