Laura Ventura

University of Padua - Department of Statistical Sciences

Via Battisti, 241

Padova, 35121

Italy

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Scholarly Papers (1)

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Optimal B-Robust Posterior Distributions for Operational Risk

Journal of Operational Risk, Forthcoming
Number of pages: 20 Posted: 14 Nov 2016
UniCredit Business Integrated Solutions S.C.p.A., UniCredit S.p.A., University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
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Abstract:

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advanced measurement approach (AMA), approximate Bayesian computation (ABC), loss distribution approach, operational risk, robust posterior distribution, unbiased estimating function