HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

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.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

https://hal-essec.archives-ouvertes.fr/hal-00690448
Contributor : Anne Crepin Connect in order to contact the contributor
Submitted on : Monday, April 23, 2012 - 3:28:56 PM
Last modification on : Wednesday, December 1, 2021 - 3:48:01 AM
Long-term archiving on: : Thursday, December 15, 2016 - 12:00:46 AM

File

WP1206.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00690448, version 1

Citation

Holger Capa Santos, Marie Kratz, Franklin Mosquera Munoz. Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach. 2012. ⟨hal-00690448⟩

Share

Metrics

Record views

330

Files downloads

470