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A Threshold Based Approach to Merge Data in Financial Risk Management
Company: University of Pavia
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: December
Pages: 13
Download Count: 7
View Count: 1413
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-10-2010
Publisher: Administrator
Summary
The goal of this paper is to propose a rigorous statistical treatment
to make external and internal data comparable and, therefore, mergeable. The second aim of this contribution is to produce a methodology, that ensure to estimate the size of expected losses (EL) and the capital charge on the basis of different financial data sources.
Author(s)
Figini, Silvia Sign in to follow this author
Giudici, Paolo Sign in to follow this author
Uberti, Pierpaolo Sign in to follow this author
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