Daniel H. Stahl
Daniel Stahl has developed economic capital and ALLL models while spearheading the risk management framework at Uwharrie Capital Corp, a small community bank outside Charlotte. He currently works in audit analytics with a focus on model risk for BB&T. A graduate from Calvin College with a degree in economics and a master's degree in mathematical finance from the University of North Carolina Charlotte, he lives in Winston Salem, North Carolina with his wife and family.
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To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion.
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…