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有關 Modeling Operational Risk: Estimation and Effects of Dependencies. 的學術文章 | |
Operational risk: modeling analytics - Panjer - 472 個引述 Operational-risk dependencies and the determination … - Mittnik - 27 個引述 … modeling of operational risk losses and its impact on … - Brechmann - 97 個引述 | |
Modeling Operational Risk: Estimation and Effects of ...
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由 S Mittnik 著作2010 — In this study, drawing on a fairly large real–world data set, we analyze the effects of competing strategies for dependence modeling. In particular, we estimate ...
Modeling Operational Risk: Estimation and Effects of ...
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Abstract. Being still in its early stages, operational risk modeling has, so far, mainly been concentrated on the marginal distributions of frequencies and ...
Modeling Operational Risk: Estimation and Effects of ...
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In the loss distribution approach (LDA), the most widely used approach of operational risk measurement, the modeling dependencies across different risk cells ...
Operational risk dependencies
Institute and Faculty of Actuaries
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Institute and Faculty of Actuaries
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2020年1月20日 — The primary reason to model operational risk dependencies is to understand the nature of operational risk exposures and how disparate risks may ...
Operational risk modelling
Milliman | China
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Milliman | China
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Calibration requires SMEs to formulate not just estimates of the losses, but also to make a judgement on what percentile of the distribution these losses ...
Operational–risk Dependencies and the Determination of ...
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The specification of dependence structures and the assessment of their effects on aggregate risk–capital are still open issues in modeling operational risk. In ...
Validating Operational Risk Models
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2023年10月10日 — Scenario analysis may capture infrequent, high impact losses but not high frequency, low impact losses. The validator should consider whether an ...
32 頁
Flexible dependence modeling of operational risk losses ...
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由 E Brechmann 著作2014被引用 97 次 — Using real-world data, we then evaluate the impact of realistic dependence modeling on estimating the total regulatory capital, which turns out to be up to 38% ...
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Modeling Correlations in Operational Risk
Biblioteka Nauki
https://bibliotekanauki.pl › articles
Biblioteka Nauki
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由 M Karwański 著作2018被引用 9 次 — The authors present a new algorithm that shows a modified application of copulas to calculating operational risk. The calculations were done on real data that.
6 頁
Flexible dependence modeling of operational risk losses and ...
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由 EC Brechmann 著作2014被引用 97 次 — Using real-world data, we then evaluate the impact of realistic dependence modeling on estimating the total regulatory capital, which turns out.
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