15 citations · 23 across the 3 of their papers we have counts for
4 papers · 1 filter
A "Toy" Model for Operational Risk Quantification using Credibility Theory
Hans Bühlmann, Pavel V. Shevchenko, Mario V. Wüthrich
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches in operational risk, the bank's internal model should make use of the internal data, relevant e…
The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions
Dominik D. Lambrigger, Pavel V. Shevchenko, Mario V. Wüthrich
To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity dist…
The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
P. V. Shevchenko, M. V. Wüthrich
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank's internal model must include the use of internal data, relevant external data, scena…
Dynamic operational risk: modeling dependence and combining different sources of information
Gareth W. Peters, Pavel V. Shevchenko, Mario V. Wüthrich
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation…