This paper will discuss a proposed method for the estimation of loss distribution using information from a combination of internally derived data and data from external sources. The relevant context for this analysis is the estimation of operational loss distributions used in the calculation of...

Diagonal GARCH is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions used for determining suitable instruments. The estimator for this result is ML in the case where a distribution for the GARCH process is known...

A pricing restriction is developed to test the validity of the CAPM conditional on a prior belief about the correlation between the true market return and the proxy return used in the test. Distinguishing this pricing restriction from competing tests also based upon the relative efficiency of...