Alessandro Lazzarini

KMPG Global Ltd. - Operational Risk Competence Center

Via Vittor Pisani 27

Milan

Italy

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Scholarly Papers (1)

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A Weighted Likelihood Estimator for Operational Risk Data: Improving the Accuracy of Capital Estimates by Robustifying Maximum Likelihood Estimates

Journal of Operational Risk, Vol. 10, No. 3, 2015
Number of pages: 62 Posted: 01 Jul 2016
Andrea Colombo, Alessandro Lazzarini and Silvia Mongelluzzo
KMPG Global Ltd. - Operational Risk Competence Center, KMPG Global Ltd. - Operational Risk Competence Center and Barclays - Operational Risk Capital Modelling
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Abstract:

severity estimation, weighted likelihood estimator, robust estimator, operational risk modeling, Advanced Measurement Approach