Search Results - subject:"Loss Distribution"

Analyzing size of loss frequency distribution patterns : uncovering the impact of the COVID-19 pandemic

Xie, Shengkun; Li, Yuanshun - In: Risks : open access journal 12 (2024) 2, pp. 1-19

This study delves into a critical examination of the Size of Loss distribution patterns in the context of auto …

Persistent link: https://www.econbiz.de/10014497328

Operational risk assessment of third-party payment platforms : a case study of China

Yao, Yinhong; Li, Jianping - In: Financial innovation : FIN 8 (2022), pp. 1-20

based-Loss Distribution Approach (PSD-LDA) with double truncation is utilized to assess the operational risk. Two main …

Persistent link: https://www.econbiz.de/10013169756

Incremental Risk Charge Methodology

Xiao, Tim - 2019

integrated way. Combining with full re-valuation, the loss distribution at the first liquidity horizon for a subportfolio can be … the copies of the single loss distribution to produce one year loss distribution. The aggregation of different …

Persistent link: https://www.econbiz.de/10012051408

The cascade Bayesian approach: Prior transformation for a controlled integration of internal data, external data and scenarios

Hassani, Bertrand K.; Renaudin, Alexis - In: Risks 6 (2018) 2, pp. 1-17

three main quantitative sources available to banks for building the loss distribution are internal loss data, external loss … in the loss distribution approach (LDA) framework through a Bayesian strategy. The integration of the different elements …

Persistent link: https://www.econbiz.de/10011996605

The cascade Bayesian approach : prior transformation for a controlled integration of internal data, external data and scenarios

Hassani, Bertrand; Renaudin, Alexis - In: Risks : open access journal 6 (2018) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10011866503

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks 5 (2017) 4, pp. 1-13

(tranching) procedure. We assume that the originator can affect the default probability and the conditional loss distribution. We …

Persistent link: https://www.econbiz.de/10011996550

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13

(tranching) procedure. We assume that the originator can affect the default probability and the conditional loss distribution. We …

Persistent link: https://www.econbiz.de/10011783323

Riesgo operativo en el sector salud en Colombia

Franco-Arbeláez, Luis Ceferino; Franco-Ceballos, Luis … - Volkswirtschaftliche Fakultät, … - 2015

security in Colombia is quantified in the context of so-called advanced measurement approaches (AMA), particularly the Loss … Distribution Approach (LDA). To do this, the Monte Carlo simulation method and the Panjer’s (1981) recursion algorithm are used. …

Persistent link: https://www.econbiz.de/10011210487

Quantifying Catastrophic and Climate Impacted Hazards Based on Local Expert Opinions

Keighley, Tim; Longden, Thomas; Mathew, Supriya; … - 2014

simple approach, where a local expert is required to only specify two percentiles of the loss distribution in order to …

Persistent link: https://www.econbiz.de/10010491240

On modelling insurance data by using a generalized lognormal distribution

García, Victoriano J.; Gómez-Déniz, Emilio; … - In: Revista de Métodos Cuantitativos para la Economía y … 18 (2014), pp. 146-162

In this paper, a new heavy-tailed distribution is used to model data with a strong right tail, as often occurs in practical situations. The distribution proposed is derived from the lognormal distribution, by using the Marshall and Olkin procedure. Some basic properties of this new distribution...

Persistent link: https://www.econbiz.de/10011307218