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In this last lesson, we deal with Operational Risk, a very important risk for banks. Unfortunately, its treatment in the Basel framework is not at all satisfactory. We will see why.
Topics:
Definition of Operational Risk
Characteristics of Operational Risk
Basic Indicator Approach
Standardized Approach.
If you are interested in more advanced approaches, I am glad to suggest one of my papers (joint with Prof. N.N. Taleb). More references can be found in our bibliography there: ssrn.com/abstr...