Hassani, Bertrand; Renaudin, Alexis - In: Risks : open access journal 6 (2018) 2, pp. 1-17
three main quantitative sources available to banks for building the loss distribution are internal loss data, external loss … in the loss distribution approach (LDA) framework through a Bayesian strategy. The integration of the different elements … second step, the initial posterior function is used as the prior distribution and the internal loss data inform the …