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

operational sign in to follow this
loss sign in to follow this
LDA sign in to follow this
AMA sign in to follow this
Basel sign in to follow this
data sign in to follow this
credibility sign in to follow this
severity sign in to follow this
opinion sign in to follow this
Bayesian sign in to follow this
bank 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
A "Toy" Model for Operational Risk Quantification Using Credibility Theory
Year Of Publication: 2007
Month Of Publication: February
Pages: 18
Download Count: 355
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-28-2007
Publisher: Administrator
Summary
To meet the Basel II regulatory requirements for the Advanced Measurement Approachesin operational risk, the bank’s internal model should make use of the internal data, relevantexternal data, scenario analysis and factors reflecting the business environment and internalcontrol systems. One of the unresolved challenges in operational risk is combining of thesedata sources appropriately. In this paper we focus on quantification of the low frequencyhigh impact losses exceeding some high threshold. We suggest a full credibility theoryapproach to estimate frequency and severity distributions of these losses by taking intoaccount bank internal data, expert opinions and industry data
Author(s)
Bühlmann, Hans Sign in to follow this author
Shevchenko, Pavel Sign in to follow this author
Wuethrich, Mario V. 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