A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS

DOI10.1142/S0219622009003727zbMath1186.91123OpenAlexW2083028768MaRDI QIDQ5305102

Jichuang Feng, Jianming Chen, Jian-ping Li

Publication date: 19 March 2010

Published in: International Journal of Information Technology & Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219622009003727

zbMATH Keywords

Monte Carlo simulationLDAoperational riskfrequency distributionpiecewise-defined severity distribution

Mathematics Subject Classification ID

Related Items (2)

Operational risk aggregation based on business line dependence: a mutual information approach ⋮ A nonparametric operational risk modeling approach based on Cornish-Fisher expansion

Cites Work

• Coherent Measures of Risk
• DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

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