New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
Banks should not ignore large operational risk losses suffered by firms in their peer group just because such events are difficult to include in the probability distribution of a standard op risk capital model, according to new research.
In his recent paper, Modelling very large losses, Henryk Gzyl, professor in the centre of finance at the IESA Business School in Caracas, Venezuela, presents a
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