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Photo du rédacteurHélène Dufour

Semi-nonparametric estimation of operational risk capital with extreme loss events

The Basel II advanced measurement approach often yields counterintuitive operational risk capital due to extreme loss events. To address this, the semi-nonparametric (SNP) model by Chen and Randall (1997) can enrich parametric model distributions. SNP shows improvement over parametric models, providing more intuitive capital estimates consistent with extreme value theory.


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