A Bayesian approach to estimate the marginal loss distributions in operational risk management

Computational Statistics and Data Analysis

Volumn 52, Issue 6, 2008, Pages 3107-3127

  Dalla Valle, L ^a   Giudici, P ^a  

^a UNIVERSITY OF PAVIA   (Italy)

Author keywords

Expected shortfall; Loss distribution approach; Marginal loss distribution; Markov chain Monte Carlo; Operational risk; Value at risk

Indexed keywords

COMPUTER SIMULATION; DATA ACQUISITION; MONTE CARLO METHODS; PRINCIPAL COMPONENT ANALYSIS; PROBLEM SOLVING; RISK MANAGEMENT;

LOSS DISTRIBUTION APPROACH; MARGINAL LOSS DISTRIBUTION; OPERATIONAL RISK MANAGEMENT;

BAYESIAN NETWORKS;

EID: 39049117951     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.09.025     Document Type: Article

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