Abstract
This article presents an analysis for the estimation of economic capital concerning operational risk in a Brazilian banking industry case making use of Markov chains, Extreme Value Theory (EVT) and Peaks Over Threshold (POT) modelling. The findings denote that some existent methods present consistent results among institutions with similar characteristics of loss data.
Notes
1An analysis concerning the improvement in the Brazilian financial market after adoption of inflation targeting is offered by de Mendonça and Loures (Citation2009).
The views and opinions offered in this article do not necessarily reflect those of the Central Bank of Brazil.
2The tests for the choice of the best distribution are available from the authors on request.