Endogenous Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis
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More about this item
KeywordsHidden Markov regime; operational risk; 2007-2009 financial crisis; Skew t type 4 distribution; bank’s regulatory capital; Basel regulation;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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