A Mixing Model for Operational Risk
Year Of Publication: 2008
Month Of Publication: June
Pages: 18
Download Count: 10
View Count: 100
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-23-2010
Publisher: Administrator
Summary
External data can often be useful in improving estimation of operational risk loss distributions.
This paper develops a systematic approach that incorporates external information into internal
loss distribution modelling. The standard statistical model resembles bayesian methodology or
credibility theory in the sense that prior knowledge (external data) has more weight when internal
data is scarce than when internal data is abundant.
This paper develops a systematic approach that incorporates external information into internal
loss distribution modelling. The standard statistical model resembles bayesian methodology or
credibility theory in the sense that prior knowledge (external data) has more weight when internal
data is scarce than when internal data is abundant.
Find all documents with these keywords:
operational risk mixing data external data Champernowne Bayesian
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VaR Uses——Operational Risk
operational risk mixing data external data Champernowne Bayesian
Find all documents in these Categories:
VaR Uses——Operational Risk
Documents cited in this work:
A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk C
Using External Data in the Calculation of Operational Risk Capital Requirements with Particular Refe
The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinio
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