The Operational Risk Page

Operational risk corresponds to losses in banks that are not generated by market and credit risks. The materials presented in this page have been written between 2000 and 2003 when I was in charge with Antoine Frachot of designing the internal model of Crédit Lyonnais. During this period, we have tried to establish a standard model to compute operational risk based on the loss distribution approach. Most of the papers have been written to promote this model and to influence the regulation authorities to accept it. Today, this model is largely used by banks to compute the capital for operational risks.

Main Papers

Other papers

Conferences & Seminars

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