Examinando por Autor "Juris Sáenz, Marcela"
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Publicación Sólo datos Medición del riesgo operativo en las entidades financieras colombianas utilizando el método de Markov Chain Monte Carlo(Universidad EIA, 2013) Juris Sáenz, Carolina; Juris Sáenz, Marcela; Peña Palacio, AlejandroOperative risk has always existed and has affected the companies for a long time. Entities as the Basel Committee and the “Superintendencia Financiera de Colombia” (regulatory Colombian entity) have made a big effort to achieve that the financial sector uses the Advanced Measurement Approach (AMA) for operative risk measurement with the purpose of avoiding unexpected big losses that produce severe impacts in the financial sector. This project proposes an alternative model for operative risk measurement, which considers the relation within loss events to calculate the total operative loss for a financial entity. In order to calculate the aggregated loss distribution (LDA) a prototype was developed which permits to generate different scenarios to foster the use of the AMA methodology (Advanced Measurement Approach) for obtaining the operational value at risk.
