This time we discuss the percentile approach - data is collected for specific percentiles/quantiles of loss severity from experts. In this tutorial we would discuss the Interval Approach. In the following illustrations, we will fit continuous distributions to scenario data collected for loss severities.
November 16th, 2011
Operational risk modelling uses Loss Data Analysis (internal or external), Scenario Analysis and data on Business Environment and Internal Controls. Loss data analysis and Scenario Analysis require fitting probability distribution to loss data or scenario data i.e. identifying which distribution best describes the empirical or expert judgement data.
November 9th, 2011
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