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The structural modeling of operational risk via Bayesian inference: combining loss data with expert opinions

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References

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1999Loss Models: From Data to Decisions1,232 cited
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2009Dynamic operational risk: modeling dependence and combining different sources of information38 cited
2007Addressing the impact of data truncation and parameter uncertainty on operational risk estimates36 cited
2011Assessing Uncertainty and Risk in Public Sector Investment Projects35 cited
2021Do operational risk and corporate governance affect the banking industry of Pakistan?32 cited
2007Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation32 cited

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2020

Predictive compound risk models with dependence

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2009The net Bayes premium with dependence between the risk profiles30 cited

2013Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series26 cited

2010A review of the key issues in operational risk capital modeling25 cited

2010A knowledge based approach to loss severity assessment in financial institutions using Bayesian networks and loss determinants18 cited

2016Bounded, Sigmoid Utility for Insurance Applications0 cited