Анализ операционных убытков на основе биномиального, пуассоновского и нормального распределений
The comparisons of three models of evaluation of minimum capital requirements for operational risk are considered. We examine a method of evaluation of volume of capital suffi-cient to cover losses due to different types of damage distributed by the Normal, Binomial and Poisson laws.
The author analyzes the most widely applied risk management standards in Russia, emphasizing the lack of a clear system for operational risk management. Reviewing the challenges emerging on European markets due to the introduction of the Solvency II directive, he suggests approaches to the solution of possible problems for Russian insurers.
The article is devoted to normality assumption in statistical data analysis. It gives a short historical review of the development of scientific views on the normal law and its applications. It also briefly covers normality tests and analyzes possible consequences of using the normality assumption incorrectly.