Essays about: "g-and-h distribution"

Found 1 essay containing the words g-and-h distribution.

  1. 1. A Bayesian Approach to Modeling Operational Risk When Data is Scarce

    University essay from Lunds universitet/Matematisk statistik

    Author : Petter Svensson; [2015]
    Keywords : AMA; Bayesian inference; Basel II; g-and-h distribution; generalized Champernowne distribution; loss distribution approach; operational risk; Mathematics and Statistics;

    Abstract : The goal of this thesis is to investigate whether it is possible to construct an advanced measurement approach (AMA) model for operational risk when the number of internal data points are very scarce. An AMA model should combine internal data, external data, scenario data, and business environment and internal control factors to give a one year VaR estimate with 99. READ MORE