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

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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.
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Dates and versions

hal-00690448 , version 1 (23-04-2012)

Identifiers

  • HAL Id : hal-00690448 , version 1

Cite

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