A Bayesian Approach to Modeling Operational Risk When Data is Scarce.
Published: Jan 1, 2015
Abstract
The goal of this thesis is to investigate whether it is possible to construct
an advanced measurement approach (AMA) model for operational
risk when the number of internal data points are very scarce.
An AMA model should combine internal data, external data, scenario
data, and business environment and internal control factors to give a
one year VaR estimate with 99.9 % confidence of operational risk. Out
of the methods of combining the...
Paper Details
Title
A Bayesian Approach to Modeling Operational Risk When Data is Scarce.
Published Date
Jan 1, 2015
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