Scaling Models for the Severity and Frequency of External Operational Loss Data
Year of publication: |
2007
|
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Authors: | Dahen, Hela ; Dionne, Georges |
Institutions: | Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) |
Subject: | Operational risk in banks | scaling | severity distribution | frequency distribution | truncated count data regression models |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; C35 - Discrete Regression and Qualitative Choice Models |
Source: |
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What about Underevaluating Operational Value at Risk in the Banking Sector?
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