Modelling macroeconomic eects and expert judgements in operational risk : a Bayesian approach

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 eects on operational risk. It appears that severities of operational losses are more related to the macroeconomics environment than usually assumed.