Paper of the year: Bakhodir Ergashev, Stefan Mittnik and Evan Sekeris

Paper focuses on dealing with sparse data


Paper: A Bayesian Approach to Extreme Value Estimation in Operational Risk Modelling Scarcity of data is the ever-present bugbear of everyone who deals with operational risk – in particular the shortage of relevant data points in the tails of loss distributions, which are not only crucial for planning responses to extreme and business-threatening events, but also important in operational risk modelling and capital calculations. The tail is critical: observed operational risk losses fall