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Persistent link: https://www.econbiz.de/10011807121
Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast operational loss exposure. However, the ability of past losses to predict exposure, particularly tail exposure, has not been thoroughly examined in the literature. In this paper, we...
Persistent link: https://www.econbiz.de/10012999684
Persistent link: https://www.econbiz.de/10011499646
Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast operational loss exposure. However, the ability of past losses to predict exposure, particularly tail exposure, has not been thoroughly examined in the literature. In this paper, we...
Persistent link: https://www.econbiz.de/10012936181
Persistent link: https://www.econbiz.de/10014445463