Estimating and simulating loss distributions with incomplete data
The following article deals with the estimation of severity distributions with censored or truncated operational losses. By Marco Bee
The new Basel capital Accord has started to treat operational risk as an autonomous type of risk, with its own tools and methods. The loss distribution approach (LDA) is the most sophisticated of the four methodologies contemplated by the Accord (see Quick (2006) for a review). This involves computing the total loss amount for each business line by estimating and simulating separately the
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