An Application of Bayesian Inference on the Modeling and Estimation of Operational Risk Using Banking Loss Data

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References

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http://dx.doi.org/10.1007/978-3-642-15923-7

[2] King, J.L. (2001) Operational Risk Measurement and Modeling. Wiley.

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http://dx.doi.org/10.1002/0470051310

[5] Franchot, A. and Roncalli, T. (2002) Mixing Internal and External Data for Managing Operational Risk. Working Paper, Groupe de Recherche Operationnelle.

[6] Shevchenko, P.V. and Wüthrich, M.V. (2006) The Structural Modeling of Operational Risk via Bayesian Inference: Combining Loss Data with Expert Opinion. The Journal of Operational Risk, 1, 3-36.

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[8] Peters, G.W., Shevchenko, P.V. and Wüthrich, M.V. (2009) Dynamic Operational Risk: Modeling Dependence and Combining Different Data Sources of Information. The Journal of Operational Risk, 4, 69-104.

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[10] Basel Committee on Banking Supervision: Results from the 2008 Loss Data Collection Exercise for Operational Risk. Bank for International Settlement (2009). www.bis.org

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[13] McNeil. A.J., Frey, R. and Embrechts, P. (2005) Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press, Princeton, NJ.