Plunus, Séverine; Hübner, Georges; Peters, Jean-Philippe - In: Applied Financial Economics 22 (2012) 18, pp. 1553-1569
The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a greater variety in credit risk modelling, this article explores the applicability of a...