Aplicação da metodologia LDA para gestão do risco operacional de companhia seguradora
Tipo
Dissertação
Data de publicação
2013-08-19
Periódico
Citações (Scopus)
Autores
Assad, Alaim Mosciaro
Orientador
Basso, Leonardo Fernando Cruz
Título da Revista
ISSN da Revista
Título de Volume
Membros da banca
Kimura, Herbert
Cia, Josilmar Cordenonssi
Campos, Anderson Luis Saber
Cia, Josilmar Cordenonssi
Campos, Anderson Luis Saber
Programa
Administração de Empresas
Resumo
The Operational Risk did not receive much attention from firms, regulators and the market
until the event of the fraud on Bahrings Bank, in 1995. The regulatory agencies have issued
more complex and rigorous regulations in reply to this and to many other events of
operational losses. Their goal is to improve the quality of the controls of the financial
institutions, as well as to mitigate the occurrence of new events of this kind. As a new
discipline, the regulatory agencies have been incentivizing the financial firms to develop
advance approaches based on internal models. In response, they shall have a decrease on the
regulatory capital applicable. In other hand, the financial firms themselves shall benefit from
na internal model that fits their characteristics, and so, as taylor made. The goal of this
research is to study the development of an internal model for operational risk, based on LDA,
which has been largely used by financial firms worldwide. The focus on an Insurance
company is due to the expressive growth of this market in the later years, which has giving it
an increasing importance to the national economy as well as institutional investors role.
Descrição
Palavras-chave
risco operacional , loss distribution approach , VAR , Monte Carlo , seguradoras , operational risk , loss distribution approach , VAR , Monte Carlo , insurance companies