A "Toy" Model for Operational Risk Quantification using Credibility Theory

Preprint English OPEN
Bühlmann, Hans; Shevchenko, Pavel V.; Wüthrich, Mario V.; (2009)
  • Subject: Quantitative Finance - Risk Management

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, scenario analysis and factors reflecting the business environment and intern... View more
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