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

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Author Info

  • Holger Capa Santos

    (Escuela Politecnica Nacional - Facultad de Geologia)

  • Marie Kratz

    ()
    (MAP5 - Mathématiques appliquées Paris 5 - CNRS : UMR8145 - Université Paris V - Paris Descartes, SID - Information Systems / Decision Sciences Department - ESSEC Business School)

  • Franklin Mosquera Munoz

    (Escuela Politecnica Nacional - Facultad de Geologia)

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    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.

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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number hal-00690448.

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    Date of creation: 01 Jan 2012
    Date of revision:
    Handle: RePEc:hal:journl:hal-00690448

    Note: View the original document on HAL open archive server: http://hal-essec.archives-ouvertes.fr/hal-00690448
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    Web page: http://hal.archives-ouvertes.fr/

    Related research

    Keywords: Basel II ; Bayesian inference ; Loss distribution approach ; Macroeconomics dependence ; Operational Risk ; Quantitative Risk Management ; Solvency 2;

    This paper has been announced in the following NEP Reports:

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