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A Simple Approach to Combining Internal and External Operational Loss Data

Pavel Okunev ()

Finance from University Library of Munich, Germany

Abstract: We propose a simple approach to combining internal and external loss data in the case when internal and external data come from the same distribution. We assume that the internal data is uncensored but the external data includes only losses above a known threshold. This approach is an alternative to the method of Baud et al. \cite{BA1}, when the latter is too computationally expensive due to the large quantity of data available.

Keywords: operational risk; basel accords; combining internal and external data; stratified sampling; weighted average (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ict
Date: 2005-08-29
Note: Type of Document - pdf
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0508013

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