Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

operational risk sign in to follow this
Bayesian sign in to follow this
data sign in to follow this
external sign in to follow this
loss distribution sign in to follow this
Poisson sign in to follow this
capital sign in to follow this
Categories:

VaR Uses sign in to follow this
--Operational Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
An Application of Bayesian Inference on the Modeling and Estimation of Operational Risk Using Banking Loss Data
Company: Applied Mathematics
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: April
Resource Link: Click here to open
Pages: 862-876
Download Count: 0
View Count: 1459
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-6-2014
Publisher: Administrator
Summary
Bank internal and external data are divided into defined loss cells and then fitted into probability distributions. The distribution parameters and their uncertainties are estimated from posterior distributions derived using the Bayesian inference. Loss frequency is fitted into Poisson distributions. While the Poisson parameters, in a similar way, are defined by a posterior distribution developed using Bayesian inference. Bank operation loss typically has some low frequency but high magnitude loss data. These heavy tail low frequency loss data are divided into several buckets where the bucket frequencies are defined by the experts. A probability distribution, as defined by the internal and external data, is used for these data. A Poisson distribution is used for the bucket frequencies. However instead of using any distribution of the Poisson parameters, point estimations are used. Monte Carlo simulation is then carried out to calculate the capital charge of the internal as well as the heavy tail high profile low frequency losses.
This document may be downloaded without charge from the publisher by clicking the "Buy from Publisher"
Author(s)
Rahman, Kashfia N. Sign in to follow this author
Black, Dennis A. Sign in to follow this author
McDonald, Gary C. Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile