A Bayesian approach to estimate the marginal loss distributions in operational risk management-Reference-Cited by-同舟云学术

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A Bayesian approach to estimate the marginal loss distributions in operational risk management

Published:2008-02 Issue:6 Volume:52 Page:3107-3127
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Dalla Valle L.,Giudici P.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference47 articles.

1. On the coherence of expected shortfall;Acerbi;J. Banking Finance,2002

2. Operational Risk. Regulation, Analysis and Management;Alexander,2003

3. The path to operational risk economic capital;Anders,2003

4. Coherent measures of risk;Artzner;Math. Finance,1999

5. Bank for International Settlements, 2002. About the Bank for International Settlements. Available at: 〈http://www.bis.org/index.htm〉.

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