Introduction to operational risk modeling |
Basic concepts related to probability distributions |
Modeling number of losses using Excel: Frequency distributions |
Modeling size of losses using Excel: Severity distributions |
Fitting distributions to data: Parameter estimation |
Examining goodness of fit |
Aggregate loss modeling |
Aggregating VaR estimates across Business Lines and Event types |
Precautions while using EVT/GPD to avoid overestimation of capital reqt |
How confident are you about parameter estimates? |
Using External data in OpVaR |
Combining capital estimates based on internal data, external data and scenario analysis |
Operational risk modeling software |
Introduction to R: an open-source operational risk modeling software |
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