5. Which of the following statements describe valid difficulties associated with using VaR to measure operational risk?

I) There is a lack of sufficiently detailed data.

II) Internal data has survivorship bias.

III) External data tends to be highly subjective and non-uniform.

IV) Correlation of events between business units difficult to estimate.

A. I, III and IV only

B. II and IV only

C. I, II, III and IV

D. I, II and III only

[此贴子已经被作者于2009-6-13 10:59:00编辑过]

Correct answer is Cfficeffice" />

ffice:smarttags" />I. is VALID ? detailed data about operational losses in all areas of an institution must be collected to calculate VaR and generally this data is not available.

II. is VALID ? in particular, it is likely that internal data will not include any high severity operational risk events since many firms do not survive such an event

III. is VALID ? because of differences in business units, risk controls and culture, external data tends to be highly subjective and non-uniform 

IV. is VALID ? estimating the correlation of operational risk events across different business units requires significant data which generally is not available.

Reference: Allen, Boudoukh and Saunders, Understanding Market, Credit and Operational Risk: The Value at Risk Approach, Chapter 5, pp. 162 ? 165.