| 摘要 |
An apparatus of quantifying operational risk includes a transaction amount input unit to input a transaction amount, a loss rate density input unit to input a loss rate density corresponding to a probability density when setting a loss rate in a loss event to a random variable, a massive loss density calculating unit to calculate a massive loss density of the loss rate density, which corresponds to an loss amount not less than a threshold, based on the transaction amount and the loss rate density, and a risk measure calculating unit configured to calculate operational risk from the massive loss density.
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