The authors propose a generic weighting function based on a nonparametric approach that can be used to weight the different distributions.
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Italy’s operational risk loss database organisation, Dipo, invited other consortiums from around the globe to a conference in Rome to discuss their various approaches to collecting external data a...
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This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.