搜索结果: 1-3 共查到“数量经济学 Operational Risk”相关记录3条 . 查询时间(0.018 秒)
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses an...
A Bayesian Networks Approach to Operational Risk
Operational Risk Complex Systems Bayesian Networks Time Series Value-at-Risk
2010/11/1
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...
