A Bayesian approach to estimate the marginal loss distributions in operational risk management
type: Item
instance of: scholarly article
title: A Bayesian approach to estimate the marginal loss distributions in operational risk management
zbMATH Open document ID: 1452.62788
published in: Computational Statistics and Data Analysis
publication date: 2009-06-12T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62-08
zbMATH DE Number: 5564690
zbMATH Keywords: expected shortfall
zbMATH Keywords: loss distribution approach
zbMATH Keywords: marginal loss distribution
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: operational risk
zbMATH Keywords: value at risk
author: Luciana Dalla Valle
author: Paolo Giudici
describes a project that uses: R
MaRDI profile type: Publication
full work available at URL: j.csda.2007.09.025
OpenAlex ID: W2038168460
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DOI: 10.1016/J.CSDA.2007.09.025
description: scientific article; zbMATH DE number 5564690