Marcelo Cruz: Robust estimation


As severity distributions are the key driver of capital, and different parameters can yield different capital figures, interest in robust estimation has been growing in the past few years. Some good papers already published are ‘Robust estimation of operational risk’ by Horbenko et al (Issue 2, Volume 6, 2011) – ORR’s Paper of the Year for 2011 – and ‘Applying robust methods to operational risk modeling’ by Chernobai et al (Issue 1, Volume 1, 2006). There are other papers in the pipeline to be

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