Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach

Abstract : This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the distributions of the sources, market risk pro le, experts and operational losses, chosen here at a location parameter. It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wuthrich, and analyses macroeconomic e ects on operational risk. It appears that severities of operational losses are more related to the macroeconomics environment than usually assumed.
Type de document :
Pré-publication, Document de travail
ESSEC Working paper. Document de Recherche ESSEC / Centre de recherche de l’ESSEC. ISSN : 1291-9616. WP 1206. Publié in J. Operational Risk 7, 3-23 (Winter 2013) DOI : https://doi.org/10.21314/jop.2012.113 2012
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Dernière modification le : jeudi 11 janvier 2018 - 06:19:45
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  • HAL Id : hal-00690448, version 1

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Holger Capa Santos, Marie Kratz, Franklin Mosquera Munoz. Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach. ESSEC Working paper. Document de Recherche ESSEC / Centre de recherche de l’ESSEC. ISSN : 1291-9616. WP 1206. Publié in J. Operational Risk 7, 3-23 (Winter 2013) DOI : https://doi.org/10.21314/jop.2012.113 2012. 〈hal-00690448〉

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