European Business Schools Librarian's Group
ESSEC Working Papers,
ESSEC Research Center, ESSEC Business School
No WP1206: Modelling macroeconomic e ects and expert judgements in operational risk : a Bayesian approach
Holger Capa Santos (), Marie Kratz () and Franklin Mosquera Munoz
Additional contact information
Holger Capa Santos: Escuela Politecnica Nacional (EPN)
Marie Kratz: ESSEC Business School, Postal: Avenue Bernard Hirsch - B.P. 50105, 95021 CERGY PONTOISE Cedex, FRANCE
Franklin Mosquera Munoz: Escuela Politecnica Nacional (EPN)
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
19 pages, January 1, 2012
Full text files
WP1206.pdf
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