How to Avoid Over-Estimating Capital Charge for Operational Risk?

Intense reflections are being conducted at the moment regarding the way to pool heterogeneous data coming from both banks' internal systems and industry-pooled databases. We propose here a sound methodology. As it relies on maximum likelihood principle, it is thus statistically rigorous and should be accepted by supervisors. We believe that it solves the most part of data heterogeneity and scaling issues

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Year of publication:	[2007]
Authors:	Baud, Nicolas
Other Persons:	Frachot, Antoine (contributor) ; Roncalli, Thierry (contributor)
Publisher:	[2007]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Notes:	In: OperationalRisk - Risk's Newsletter, February 2003
Classification:	G00 - Financial Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012775559