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

- Operational Risk & Regulation staff
- 17 Apr 2014

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

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 into a

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact info@risk.net to find out more.

You are currently unable to copy this content. Please contact info@risk.net to find out more.

As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.

If you would like to purchase additional rights please email info@risk.net

You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.

If you would like to purchase additional rights please email info@risk.net

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

Scarcity of applicable data is a perennial problem for modelling op risk losses. Bayesian estimation is a far from universally accepted technique – but Bakhodir Ergashev, Stefan Mittnik and Evan Sekeris describe a way to make it work in this year’s Paper of the Year

Sorry, our subscription options are not loading right now

More on Awards

Currency derivatives house of the year: Deutsche Bank

Interest rate derivatives house of the year: Standard Chartered Bank

Structured products house of the year: Societe Generale

Derivatives house of the year, Malaysia: CIMB

Risk management consultant of the year: Acies

Quant finance house of the year: Societe Generale

Derivatives house of the year, Taiwan: CTBC Bank

Derivatives house of the year, Japan: Nomura

You are currently on corporate access.