Modelling macroeconomic effects and expert judgements in operational risk: a Bayesian approach

Holger Capa Santos, Marie Kratz () and Franklin Mosquera Munoz
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Holger Capa Santos: Departamento de Geologia [Quito] - EPN - Escuela Politécnica Nacional
Marie Kratz: MAP5 - UMR 8145 - Mathématiques Appliquées Paris 5 - UPD5 - Université Paris Descartes - Paris 5 - INSMI-CNRS - Institut National des Sciences Mathématiques et de leurs Interactions - CNRS Mathématiques - CNRS - Centre National de la Recherche Scientifique, ESSEC Business School
Franklin Mosquera Munoz: Departamento de Geologia [Quito] - EPN - Escuela Politécnica Nacional

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Abstract: This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the distributions of the sources, market risk pro le, experts and operational losses, chosen here at a location parameter. It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wuthrich, and analyses macroeconomic e ects on operational risk. It appears that severities of operational losses are more related to the macroeconomics environment than usually assumed.

Keywords: Quantitative Risk Management; Solvency 2; Basel II; Bayesian inference; Loss distribution approach; Macroeconomics dependence; Operational Risk (search for similar items in EconPapers)
Date: 2012-01-01
Note: View the original document on HAL open archive server: https://essec.hal.science/hal-00690448
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