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Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/23
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
Variance-covariance based risk allocation in credit portfolios: analytical approximation
Variance-covariance risk allocation nalytical approximation
2010/11/1
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with ...