Resumo

MURILLO GOMEZ, Juan Guillermo. Extreme value theory and operational risk: an application to a financial institution. Rev. ing. univ. Medellín [online]. 2009, vol.8, n.15, suppl.1, pp.59-70. ISSN 1692-3324.

This paper presents the application of Extreme Value Theory (EVT) in order to quantify the loss distribution in operational risk, from internal and external data; frequency and severity distributions were analyzed separately, then they were combined to find the loss distribution, which was divided into two areas: the body -until a threshold- and the tail.

Palavras-chave : LDA; EVT; severity; frequency; distribution body; distribution tail.

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