Abstract

MORA VALENCIA, Andrés. CONSTRUCTION OF LOSS DISTRIBUTION AND OPERATING RISK AGGREGATION PROBLEM UNDER LDA MODELS: A REVIEW. Rev. ing. univ. Medellín [online]. 2013, vol.12, n.23, pp.71-82. ISSN 1692-3324.

This article performs a review of the most recent literature associated to the obtaining of loss distribution for operating risk when the LDA (Loss Distribution Approach) and dependency among operating lines is employed. When the LDA is the method of election to quantify operating risks, there are several questions to be solved, such as the obtaining of loss distribution, since there is not a closed formula to obtain it; however, there are numerical methods to solve this problem. Finally, a review associated to the obtaining of total operating loss of a financial entity is shown, bearing in mind the dependency among the existing operating lines.

Keywords : Loss distribution approach; value at risk; aggregation.

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