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Using External Data in Operational Risk

We present a method to combine expert opinion on the likelihood of under-reporting with an operational risk data set. Under-reporting means that not all losses are identified and therefore an incorrect distributional assumption may be made, and ultimately an incorrect assessment made of capital... Full description

1st Person: Guillen, Montserrat
Additional Persons: Gustafsson, Jim verfasserin; Nielsen, Jens Perch verfasserin; Pritchard, Paul verfasserin
Source: in The Geneva papers on risk and insurance - issues and practice Vol. 32, No. 2 (2007), p. 178-189
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Type of Publication: Article
Language: English
Published: 2007
Keywords: research-article
Online: Volltext
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