The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions

@inproceedings{Shevchenko2006TheSM,
  title={The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions},
  author={Pavel V. Shevchenko and Mario V. Wuthrich},
  year={2006}
}
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank’s internal model must include the use of internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. Quantification of operational risk cannot be based only on historical data but should involve scenario analysis. Historical internal operational risk loss data have limited ability to predict future behaviour moreover, banks do… CONTINUE READING

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