Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Abstract
We propose a model for conduct risk losses, in which conduct risk losses are characterized by having a small number of extremely large losses (perhaps only one) with more numerous smaller losses. It is assumed that the largest loss is actually a provision from which payments to customers are made periodically as required. We use the pseudo-marginal (PM) Markov chain Monte Carlo method to decompose the largest loss into smaller partitions in...
Paper Details
Title
Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Published Date
Dec 1, 2019
Journal
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