ORR Innovation Awards: Paper of the year

Robust estimation of operational risk

Nataliya Horbenko

Taehan Bae, Nataliya Horbenko and Peter Ruckdeschel have presented a more efficient method for robust estimation of operational risk profiles in their paper ‘Robust estimation of operational risk’, published in the Journal of Operational Risk (Volume 6/Number 2, summer 2011).

The paper addresses a familiar problem in the modelling of operational risk for capital calculation purposes – the tendency for minor deviations from the model, such as a single large outlying loss, to have large and

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