Estimating Operational Risk Capital with Greater Accuracy, Precision and Robustness
Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness … OR … How to Prevent Jensen’s Inequality from Inflating Your Operational Risk Capital Estimates.
The biasing effects of Jensen’s inequality on operational risk capital estimation have received little attention to date, yet under the most common implementation of the Basel II AMA (LDA-MLE), this capital overstatement often is enormous. In this paper, industry and methodological expert J.D. Opdyke
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