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A Simple Approach to Combining Internal and External Operational Loss Data

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  • Pavel Okunev

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

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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File URL: http://128.118.178.162/eps/fin/papers/0508/0508013.pdf
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Bibliographic Info

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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Web page: http://128.118.178.162

Related research

Keywords: operational risk; basel accords; combining internal and external data; stratified sampling; weighted average;

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