H. S. Na

Erasmus University Rotterdam (EUR) - Department of Computer Science

Faculty of Economics

3000 DR Rotterdam

Netherlands

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Data Scaling for Operational Risk Modelling

ERIM Report Series Reference No. ERS-2005-092-LIS
Number of pages: 24 Posted: 02 Mar 2006
Erasmus University Rotterdam (EUR) - Department of Computer Science, Erasmus University Rotterdam (EUR) - Department of Computer Science, Delft University of Technology, Faculty of Technology, Policy and Management, Section of ICT and Erasmus University Rotterdam (EUR) - Department of Computer Science
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Citation 1

Abstract:

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Minimal Capital Requirements, Operational Risk, Power Law Scaling, Loss Distribution, Value at Operational Risk