Dynamic operational risk : modeling dependence and combining different sources of information

@inproceedings{Peters2007DynamicOR,
  title={Dynamic operational risk : modeling dependence and combining different sources of information},
  author={Gareth W. Peters},
  year={2007}
}
In this paper, we model dependence between operational risks by allowing risk profiles to evolve in time stochastically and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of different risk categories and between severities of different risk categories as well as within risk categories can be modelled. The model is estimated using the Bayesian inference methodology, allowing for combination of internal data, external data and expert… CONTINUE READING

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