Antonina Durfee

Citizens Financial Group

28 State St

Boston, MA 02109

United States

Other Papers (1)

Total Downloads: 148

On Stability of Operational Risk Estimates by LDA: From Causes to Approaches

Number of pages: 50 Posted: 30 Aug 2014 Last Revised: 21 Feb 2017
Xiaoping Zhou, Antonina Durfee and Frank J. Fabozzi
Citizens Financial Group, Citizens Financial Group and EDHEC Business School
Downloads 148 (172,347)



operational risk, capital modeling, stability of estimates, robust estimation, right-truncated distributions, bias corrected capital estimators, maximum likelihood estimation, quantile-distance estimators