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According to Basel II criteria, the use of external data is absolutely indispensable to the implementation of an advanced method for calculating operational capital. This article investigates how the severity and frequencies of external losses are scaled for integration with internal data. We...
Persistent link: https://www.econbiz.de/10005015229
Operational losses are true dangers for banks since their maximal values to signal default are difficult to predict. This risky situation is unlike default risk whose maximum values are limited by the amount of credit granted. For example, our data from a very large US bank show that this bank...
Persistent link: https://www.econbiz.de/10008512963
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Operational losses are true dangers for banks since their maximal values to signal default are difficult to predict. This risky situation is unlike default risk whose maximum values are limited by the amount of credit granted. For example, our data from a very large US bank show that this bank...
Persistent link: https://www.econbiz.de/10013147401
Persistent link: https://www.econbiz.de/10008649468
Persistent link: https://www.econbiz.de/10003996359
According to Basel II criteria, the use of external data is absolutely indispensable to the implementation of an advanced method for calculating operational capital. This article investigates how the severity and frequencies of external losses are scaled for integration with internal data. We...
Persistent link: https://www.econbiz.de/10012731115
Risk classification refers to the use of observable characteristics by insurers to group individuals with similar expected claims, compute the corresponding premiums, and thereby reduce asymmetric information. An efficient risk classification system generates premiums that fully reflect the...
Persistent link: https://www.econbiz.de/10009369377
We propose a parametric model based on the Poisson distribution that permits to take into account both unobserved worker and workplace heterogeneity as long as both effects are nested. By assuming that workplace and worker unobserved heterogeneity components follow a gamma and a Dirichlet...
Persistent link: https://www.econbiz.de/10005015248