This paper considers some univariate and multivariate operational risk models, in which the loss severities are … modelled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some …/III regulatory capital accords, which is the so-called Loss Distribution Approach. We also conduct some simulation studies to check …

during the 1994-2004 period. The tail of the loss distribution (a Pareto distribution without expectation whose …

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 …