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Combining Operational Loss Data with Expert Opinions through Advanced Credibility Theory
Company: Journal of Operational Risk
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: March
Resource Link: Click here to open
Pages: 3-28
Download Count: 0
View Count: 1511
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-31-2013
Publisher: Administrator
We propose a model for integrating the historical operational value-at-risk (VaR), obtained by loss data analysis, and the prospective operational VaR, obtained by the analysis of experts’ estimations, using a technique based on advanced credibility theory. The integration is performed at the level of frequency and severity distribution parameters. Among severity parameters, the primary role is played by the shape parameter of the severity tail distribution, which perceptibly affects the ?nal capital ?gure.
(volume 5, number 1)
This document may be downloaded without charge from the publisher by clicking the 'Buy from Publisher' button. (accessed 2013-07-31)
Agostini, Alessandra Sign in to follow this author
Talamo, Paolo Sign in to follow this author
Vecchione, Vittorio Sign in to follow this author
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