• Media type: E-Book
  • Title: A Mixing Model for Operational Risk
  • Contributor: Gustafsson, Jim [Author]; Nielsen, Jens Perch [Other]
  • Published: [S.l.]: SSRN, [2008]
  • Extent: 1 Online-Ressource (18 p)
  • Language: Not determined
  • DOI: 10.2139/ssrn.1090863
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 30, 2008 erstellt
  • Description: External data can often be useful in improving estimation of operational risk loss distributions. This paper develops a systematic approach that incorporates external information into internal loss distribution modelling. The standard statistical model resembles bayesian methodology or credibility theory in the sense that prior knowledge (external data) has more weight when internal data is sparse than when internal data is abundant
  • Access State: Open Access