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.
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https://hal-essec.archives-ouvertes.fr/hal-00690448
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Submitted on : Monday, April 23, 2012 - 3:28:56 PM
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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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