Browsing by Subject "Loss distribution approach"

Now showing items 1-2 of 2

    • Combining data sources to be used in quantitative operational risk models 

      Gericke, Mentje (North-West University (South Africa), 2022)
      The management of financial losses is crucial for banks as they are required to set aside regulatory capital to absorb unexpected losses. Banks also need to calculate economic capital to ensure solvency according to their ...

    • A comparison of VaR estimates in risk management 

      Panman, Kevin (North-West University (South Africa) , Potchefstroom Campus, 2016)
      In risk management one is often concerned with estimating high quantiles of the underlying distribution of a given sample of data. This is known to be challenging, especially if the quantile of interest is extremely high. ...