Antonina Durfee

Citizens Financial Group

28 State St

Boston, MA 02109

United States

Other Papers (1)

Total Downloads: 148
1.

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)

Abstract:

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