Fed paper breaks new ground on economic capital modelling


-- A paper published in April, Using loss data to quantify operational risk, by Federal Reserve Bank of Boston officials, applies a modelling technique to data from external public op risk databases to help correct data problems inherent within those products.

The paper addresses the problem of sample selection bias by "using an econometric model in which the truncation point for each loss (ie, the dollar value below which the loss is not reported) is modelled as an

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