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Modeling of Risk Losses Using Size-Based Data
Company: IBM Journal of Research & Development
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: May
Resource Link: Click here to open
Pages: 309-323
Download Count: 47
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Comment Num: 0
Language: EN
Source: article
Who Can Read: Free
Date: 9-9-2007
Publisher: Administrator
Summary
In this paper we present a method for drawing inferences about theprocess of financial losses that are associated with the operations ofa business. For example, for a bank such losses may be related toerroneous transactions, human error, fraud, lawsuits, or poweroutages. Information about the frequency and magnitude of lossesis obtained through the search of a number of sources, such asprinted, computerized, or Internet-based publications related toinsurance and finance. The data consists of losses that werediscovered in the search. We assume that the probabilityof a loss appearing in the body of sources and also beingdiscovered increases with the magnitude of the loss. Ourapproach simultaneously models the process of losses and theprocess of populating the database. The approach is illustratedusing data related to operational risk losses that are of specialinterest to the banking industry.
(volume 51, number 3/4)
Author(s)
Yashchin, Emmanuel Sign in to follow this author
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