搜索结果: 1-5 共查到“金融市场 operational risk”相关记录5条 . 查询时间(0.136 秒)
The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
operational risk loss distribution approach Bayesian inference
2010/10/29
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches,
the bank’s internal model must include the use of internal data, relevant external data,
scenario analysis and f...
Modeling operational risk data reported above a time-varying threshold
dependence modelling copula, compound process operational risk,Bayesian inference Markov chain Monte Carlo Slice sampling
2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
Dynamic operational risk: modeling dependence and combining different sources of information
dependence modelling copula compound process operational risk Bayesian inference Markov chain Monte Carlo Slice sampling
2010/11/1
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the ...
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
Quantification Operational Risk Internal Data
2010/10/29
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions.
A "Toy" Model for Operational Risk Quantification using Credibility Theory
quantitative risk management operational risk loss distribution approach credibility theory lcombining different data sources Basel II Advanced Measurement
2010/10/29
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches
in operational risk, the bank’s internal model should make use of the internal data, relevant
external data, scen...