A Simple Approach to Combining Internal and External Operational Loss Data

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A Simple Approach to Combining Internal and External Operational Loss Data

Author Info

Pavel Okunev (Lawrence Berkeley National Laboratory, UC Berkeley & Bank of America)

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Pavel Okunev

Abstract

We propose a simple approach to combining internal and external loss data in the case when internal and external data come from the same distribution. We assume that the internal data is uncensored but the external data includes only losses above a known threshold. This approach is an alternative to the method of Baud et al. \cite{BA1}, when the latter is too computationally expensive due to the large quantity of data available.

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Paper provided by EconWPA in its series Finance with number 0508013.

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Date of creation: 29 Aug 2005
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Handle: RePEc:wpa:wuwpfi:0508013

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Find related papers by JEL classification:
G - Financial Economics

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-11-09 (All new papers)
NEP-ICT-2005-11-09 (Information & Communication Technologies)

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