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LGD credit risk model: estimation of capital with parameter uncertainty using MCMC
LGD credit risk model capital parameter MCMC
2010/12/13
This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery. We de...
Estimation of Operational Risk Capital Charge under Parameter Uncertainty
quantitative risk management operational risk loss distribution approach
2010/10/29
Many banks adopt the Loss Distribution Approach to quantify the operational risk capital
charge under Basel II requirements. It is common practice to estimate the capital charge
using the 0.999 quan...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...