Modelling Techniques For Limited Data Sets


The relative scarcity of operational risk data means that risk managers often have to adjust either the data that is available to them, or the models that they use (Table 1).

In this article we introduce a series of techniques that can be applied to limited data sets, or that estimate/extrapolate data using limited samples.

Table 1: Sources of data

Internal operational loss data, collected from within an institution

Other institutions' operational loss data, used as a proxy for the institution

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