Loss Distribution Approach

Pavel V. Shevchenko ()
Additional contact information
Pavel V. Shevchenko: CSIRO, Mathematics, Informatics and Statistics

Chapter Chapter 2 in Modelling Operational Risk Using Bayesian Inference, 2011, pp 21-70 from Springer

Abstract: Abstract This chapter introduces a basic model for the Loss Distribution Approach. We discuss the main aspects of the model and basic probabilistic concepts of risk quantification. The essentials of the frequentist and Bayesian statistical approaches are introduced. Basic Markov chain Monte Carlo methods that allow sampling from the posterior distribution, when the sampling cannot be done directly, are also described.

Keywords: Posterior Distribution; Risk Measure; Operational Risk; Point Estimator; Deviance Information Criterion (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-15923-7_2

Ordering information: This item can be ordered from
http://www.springer.com/9783642159237

DOI: 10.1007/978-3-642-15923-7_2

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().