The Information Value of Past Losses in Operational Risk
"We show that past operational losses are informative of future losses, even after controlling for a wide range of financial...
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Rechercher
28 juin 2022
Numerical Method for a Compound Poisson Risk Model with Two-Sided Jumps and Proportional Investment
"In this paper, a compound Poisson risk model with two-sided jumps and proportional investment is considered. The downward jumps...
26 avr. 2022
Will claim history become a deprecated rating factor?
"... this paper proposes a new risk variable elimination method as well as a real-time road risk model design framework and concludes...
24 févr. 2022
Evaluation of Backtesting on Risk Models Based on Data Envelopment Analysis
"The methodologies examined include filtered historical simulation, extreme value theory, Monte Carlo simulation and historical...
14 févr. 2022
Bayesian Backtesting for Counterparty Risk Models
"... we find that the Bayesian approach outperforms the classical one in identifying whether a model is correctly specified which is the...
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