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operational sign in to follow this
loss sign in to follow this
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The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinio
Year Of Publication: 2007
Month Of Publication: April
Pages: 29
Download Count: 579
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 5-28-2007
Publisher: Administrator
Summary
To quantify an operational risk capital charge under Basel II, many banks adopt aLoss Distribution Approach. Under this approach, quantification of the frequencyand severity distributions of operational risk involves the bank’s internal data, expertopinions and relevant external data. In this paper we suggest a new approach,based on a Bayesian inference method, that allows for a combination of these threesources of information to estimate the parameters of the risk frequency and severitydistributions
Author(s)
Lambrigger, Dominik Sign in to follow this author
Shevchenko, Pavel Sign in to follow this author
Wuethrich, Mario V. Sign in to follow this author
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