lognormal or the gamma mixture models are used to evaluate capital at risk or equivalently return period of a given loss and …

heavy right-tailed loss distribution, whereas those based on normal approximations are not reliable. The estimation …

of loss data implies that an individual bank cannot obtain a probability distribution with any reliability. We propose a … model, targeting the regulator initially, by obtaining a probability distribution for loss magnitude using pooled annual … risk losses from the banks under the regulator's oversight. We start with summarized loss data from 63 European banks and …

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 …