Journal of Operational Risk

Quantifying operational risk guided by kernel smoothing and continuous credibility: A practitioner's view

Jim Gustafsson, Jens Perch Nielsen, Paul Pritchard, Dix Roberts


This paper considers the benefits of applying sophisticated statistical techniques to challenges faced in the quantification of operational risk. The evolutionary nature of operational risk modeling to establish capital charges is recognized, emphasizing the importance of capturing tail behavior. Non-parametric smoothing techniques are considered along with a parametric base with a particular view to comparison with extreme value theory. This is presented without detailed proofs with the aim of demonstrating to practitioners the practical benefits of such techniques. The smoothed estimators embedded in a credibility approach supports analysis from pooled data across lines of business or across risk types/regions.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here