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Op risk modelling for extremes

Part 2: Statistical methods

In this second of two articles, Rodney Coleman, of Imperial College London,
continues his demonstration of the uncertainty in measuring operational risk
from small samples of loss data

 

References

Basel Committee on Banking Supervision (2001) "Consultative Paper 2.5." Bank for International Settlements

Cruz M G (2002)

"Modeling, measuring and hedging operational risk."

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