ESSEC Working Papers
No WP1206:
Modelling macroeconomic e ects and expert judgements in operational risk : a Bayesian approach
Holger Capa Santos ()
, Marie Kratz ()
and Franklin Mosquera Munoz
Abstract: This work presents a contribution on operational risk
under a general Bayesian context incorporating information on market risk
pro le, experts and operational losses, taking into account the general
macroeconomic environment as well. It aims at estimating a characteristic
parameter of the distributions of the sources, market risk pro le, experts
and operational losses, chosen here at a location parameter. It generalizes
under more realistic conditions a study realized by Lambrigger, Shevchenko
and Wuthrich, and analyses macroeconomic e ects on operational risk. It
appears that severities of operational losses are more related to the
macroeconomics environment than usually assumed.
Keywords: Basel II; Bayesian inference; Loss distribution approach; Macroeconomics dependence; Operational Risk; Quantitative Risk Management; Solvency 2; (follow links to similar papers)
19 pages, January 1, 2012
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