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

- Operational Risk & Regulation staff
- 17 Apr 2014

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

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