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  • Search: subject:"Macroeconomics dependence"
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Year of publication
Subject
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Basel II 2 Bayesian inference 2 Loss distribution approach 2 Macroeconomics dependence 2 Operational Risk 2 Quantitative Risk Management 2 Solvency 2 2
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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Undetermined 2
Author
All
Kratz, Marie 2 Capa Santos, Holger 1 Mosquera Munoz, Franklin 1 Munoz, Franklin Mosquera 1 Santos, Holger Capa 1
Institution
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ESSEC Business School 1 HAL 1
Published in...
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ESSEC Working Papers 1 Post-Print / HAL 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach
Santos, Holger Capa; Kratz, Marie; Munoz, Franklin Mosquera - HAL - 2012
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...
Persistent link: https://www.econbiz.de/10010543494
Saved in:
Cover Image
Modelling macroeconomic eects and expert judgements in operational risk : a Bayesian approach
Capa Santos, Holger; Kratz, Marie; Mosquera Munoz, Franklin - ESSEC Business School - 2012
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...
Persistent link: https://www.econbiz.de/10010545144
Saved in:
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