Following the Loss Distribution Approach (LDA), this article develops two procedures for the simulation of an annual loss distribution for the modeling of operational risk. First, we provide an overview of the typical compound-process LDA used widely in operational risk modeling, before...

Following the Loss Distributional Approach (LDA), this article develops two procedures for simulation of an annual loss distribution for modeling of Operational Risk. First, we provide an overview of the typical compound-process LDA used widely in Operational Risk modeling, before expanding upon...

The auxiliary particle filter (APF) introduced by Pitt and Shephard [Pitt, M.K., Shephard, N., 1999. Filtering via simulation: Auxiliary particle filters. J. Am. Statist. Ass. 94, 590-599] is a very popular alternative to Sequential Importance Sampling and Resampling (SISR) algorithms to perform...

Sequential Monte Carlo methods are a very general class of Monte Carlo methods for sampling from sequences of distributions. Simple examples of these algorithms are used very widely in the tracking and signal processing literature. Recent developments illustrate that these techniques have much...