رویکرد بیزی برای تخمین توزیع خسارت حاشیه ای در مدیریت ریسک عملیاتی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|50039||2008||21 صفحه PDF||سفارش دهید||8530 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Computational Statistics & Data Analysis, Volume 52, Issue 6, 20 February 2008, Pages 3107–3127
One of the main problems in operational risk management is the lack of loss data, which affects the parameter estimates of the marginal distributions of the losses. The principal reason is that financial institutions only started to collect operational loss data a few years ago, due to the relatively recent definition of this type of risk. Considering this drawback, the employment of Bayesian methods and simulation tools could be a natural solution to the problem. The use of Bayesian methods allows us to integrate the scarce and, sometimes, inaccurate quantitative data collected by the bank with prior information provided by experts. An original proposal is a Bayesian approach for modelling operational risk and for calculating the capital required to cover the estimated risks. Besides this methodological innovation a computational scheme, based on Markov chain Monte Carlo simulations, is required. In particular, the application of the MCMC method to estimate the parameters of the marginals shows advantages in terms of a reduction of capital charge according to different choices of the marginal loss distributions.