Scaling Models for the Severity and Frequency of External Operational Loss Data

@article{Dahen2007ScalingMF,
  title={Scaling Models for the Severity and Frequency of External Operational Loss Data},
  author={H. Dahen and G. Dionne},
  journal={Risk Management},
  year={2007}
}
According to Basel II criteria, the use of external data is absolutely indispensable to the implementation of an advanced method for calculating operational capital. This article investigates how the severity and frequencies of external losses are scaled for integration with internal data. We set up an initial model designed to explain the loss severity. This model takes into account firm size, location, and business lines as well as risk types. It also shows how to calculate the internal loss… Expand
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