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Modelling macroeconomic e ects and expert judgements in operational risk : a Bayesian approach

Author

Listed:
  • Capa Santos, Holger

    (Escuela Politecnica Nacional (EPN))

  • Kratz, Marie

    (ESSEC Business School)

  • Mosquera Munoz, Franklin

    (Escuela Politecnica Nacional (EPN))

Abstract

This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the distributions of the sources, market risk pro le, experts and operational losses, chosen here at a location parameter. It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wuthrich, and analyses macroeconomic e ects on operational risk. It appears that severities of operational losses are more related to the macroeconomics environment than usually assumed.

Suggested Citation

  • Capa Santos, Holger & Kratz, Marie & Mosquera Munoz, Franklin, 2012. "Modelling macroeconomic e ects and expert judgements in operational risk : a Bayesian approach," ESSEC Working Papers WP1206, ESSEC Research Center, ESSEC Business School.
    • Handle: RePEc:ebg:essewp:dr-12006
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