Codice 39/2012 Titolo Operational risk management: a statistical perspective Data 2012-09-16 Autore/i Ieva, F.; Paganoni, A.M.; Ziller, S. Link Download full text Pubblicato Far East Journal of Mathematical Sciences, Special Volume 2013, Part II, 123-138 Abstract This work presents a statistical model for operational risk management. We distinguish different types of operational Event, we model the probability of event occurrence (the frequency distribution) and the economic impact of the single event (the severity distribution), and then the aggregated distribution is obtained through convolution of frequency and severity, for each event type. The main problem is the parameters estimation of the severity distribution above a suitable threshold, that we consider as an unknown parameter to be estimated as well. An application to a case study is also presented.