Operational Risk has become more popular in the past fifteen years. The Basel committee
realized its importance and banks have to allocate more capital charge, yet this is still not
enough. With these new rules, banks have put in place new procedures to compute their
risk measures and allocate enough capital charge to avoid bankruptcy. The Basel
committee under Basel II has proposed different approaches to compute risk measures for
Operational Risk, namely the Basic Indicator Approach, the Advanced Measurement
Approach and the Standardized Approach. In our research, we will study the case of Loss
Distribution Approach, which has been discussed before, and will contribute to the field
by using a heavy-tailed distributed severity: g-and-h distributed. Then, we will analyze
and test some methods to compute the value-at-risk( VaR) and conditional value-at-risk
or expected shortfall (CVaR).