Application of the convolution operator for scenario integration with loss data in operational risk modeling
Year of publication: |
December 2015
|
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Authors: | Aroda, Pavan ; Guergachi, Aziz ; Huang, Huaxiong |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 10.2015, 4, p. 23-44
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Subject: | operational risk | advanced measurement approach | Basel II | scenario analysis | convolution | Szenariotechnik | Scenario analysis | Risikomodell | Risk model | Operationelles Risiko | Operational risk | Bankrisiko | Bank risk | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Finanzdienstleistung | Financial services | Verlust | Loss | Messung | Measurement |
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