The Bayesian Approach to Capital Allocation at Operational Risk: A Combination of Statistical Data and Expert Opinion
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- Dalla Valle, L. & Giudici, P., 2008. "A Bayesian approach to estimate the marginal loss distributions in operational risk management," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3107-3127, February.
- Weidong Tian & Azamat Abdymomunov & Ibrahim Ergen, 2017. "Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 177-204, June.
- Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel, 2012.
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- Dhaene, Jan & Tsanakas, Andreas & Emiliano, Valdez & Steven, Vanduffel, 2009. "Optimal capital allocation principles," MPRA Paper 13574, University Library of Munich, Germany.
- Luciana Dalla Valle, 2009. "Bayesian Copulae Distributions, with Application to Operational Risk Management," Methodology and Computing in Applied Probability, Springer, vol. 11(1), pages 95-115, March.
- Luciana Dalla Valle, 2012. "Erratum to: Bayesian Copulae Distributions, with Application to Operational Risk Management," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 1121-1121, December.
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Keywords
capital allocation; Bayesian approach; value at risk; Monte Carlo; expert opinion; Delphi method;All these keywords.
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