A Simple Approach to Combining Internal and External Operational Loss Data

We propose a simple approach to combining internal and external loss data in the case when internal and external data come from the same distribution. We assume that the internal data is uncensored but the external data includes only losses above a known threshold. This approach is an alternative to the method of Baud et al. \cite{BA1}, when the latter is too computationally expensive due to the large quantity of data available.

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Year of publication:	2005-08-29
Authors:	Okunev, Pavel
Institutions:	EconWPA
Subject:	operational risk \| basel accords \| combining internal and external data \| stratified sampling \| weighted average

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005561706