Book extract > Integration of Qualitative and Quantitative Operational Risk Data: A Bayesian Approach

- By Risk Staff
- 22 Sep 2004

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In general, the objectiveis to estimate a loss distribution and to derive functions of interestfrom it (such as the value-at-risk, or VAR). More precisely, lossesin operational risk are realisations of a convolution between acounting process (frequency) and a number of continuous ones(severities). For a review of statistical models used in operationalrisk management see, eg, Cruz (2002) and Cornalba and Giudici(2004).

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