The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios
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Cited by:
- Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01020293, HAL.
- Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Post-Print halshs-01020293, HAL.
- Dominique Guegan & Bertrand Hassani, 2014.
"Stress Testing Engineering: the real risk measurement?,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00951593, HAL.
- Dominique Guegan & Bertrand K Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Documents de travail du Centre d'Economie de la Sorbonne 14006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Lu Wei & Jianping Li & Xiaoqian Zhu, 2018. "Operational Loss Data Collection: A Literature Review," Annals of Data Science, Springer, vol. 5(3), pages 313-337, September.
- Dominique Guegan & Bertrand K. Hassani, 2012.
"Using a time series approach to correct serial correlation in Operational Risk capital calculation,"
Documents de travail du Centre d'Economie de la Sorbonne
12091r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised May 2013.
- Dominique Guegan & Bertrand Hassani, 2013. "Using a time series approach to correct serial correlation in operational risk capital calculation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00771387, HAL.
- Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Post-Print halshs-00951593, HAL.
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Keywords
Operational Risk; Loss Distribution Approach; Bayesian inference; Marchov Chain Monte Carlo; Extreme Value Theory; non-parametric statistics; risk measures; Risques opérationnels; inférence Bayésienne; MCMC; EVT; statistiques non paramétriques; mesures de risque;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2013-03-16 (Banking)
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