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Homeen-gbEstimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte CarloThe authors propose a model for conduct risk losses, in which conduct risk losses are characterized by having a small number of extremely large losses (perhaps only one) with more numerous smaller losses.
https://www.risk.net/journal-of-operational-risk/7241936/estimation-of-value-at-risk-for-conduct-risk-losses-using-pseudo-marginal-markov-chain-monte-carlo
https://www.risk.net/journal-of-operational-risk/7241936/estimation-of-value-at-risk-for-conduct-risk-losses-using-pseudo-marginal-markov-chain-monte-carlo
Sun, 08 Dec 2019 14:36:28 +0000