A weighted likelihood estimator for operational risk data : improving the accuracy of capital estimates by robustifying maximum likelihood estimates
Andrea Colombo, Alessandro Lazzarini and Silvia Mongelluzzo
| Year of publication: |
2015
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|---|---|
| Authors: | Colombo, Andrea ; Lazzarini, Alessandro ; Mongelluzzo, Silvia |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 10.2015/2016, 3, p. 47-108
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| Subject: | Advanced measurement approach (AMA) | Operational risk | Operational risk capital | Operational risk modelling | Original research | Operationelles Risiko | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Schätztheorie | Estimation theory | Risikomanagement | Risk management | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2015.164 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262995