IMF Working Papers

Subject: Banking, Basel Core Principles, Capital adequacy requirements, Econometric analysis, Estimation techniques, Financial regulation and supervision, National accounts, Operational risk, Personal income

Keywords: Advanced Measurement Approaches (AMA), Basel Committee, Basel Core Principles, Basel II, Capital adequacy requirements, Descriptive statistics, Estimation method, Estimation risk, Estimation techniques, Extreme tail behavior, Extreme value theory, Extreme value theory (EVT), Fat tail behavior, Financial regulation, G-and-h distribution, Generalized extreme value (GEV) distribution, Generalized Pareto distribution (GPD), Global, Gross income, MLE estimation algorithm, New Basel Capital Accord, Operational risk, Peak-over-threshold (POT) method, Percentile level, Personal income, Probability function, Risk estimate, Risk management, Risk measurement, Surface estimation, Threshold quantile, Threshold-quantile surface, Value-at-Risk (VaR), WP