Modern Economy

Volume 6, Issue 5 (May 2015)

ISSN Print: 2152-7245   ISSN Online: 2152-7261

Google-based Impact Factor: 0.96  Citations  

Combining Internal Data with Scenario Analysis

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DOI: 10.4236/me.2015.65055    4,425 Downloads   5,210 Views  Citations

ABSTRACT

A Bayesian inference approach offers a methodical concept that combines internal data with experts’ opinions. Joining these two elements with precision is certainly one of the challenges in operational risk. In this paper, we are interested in applying a Bayesian inference technique in a robust manner to be able to estimate a capital requirement that best approaches the reality. In addition, we illustrate the importance of a consistent scenario analysis in showing that the expert opinion coherence leads to a robust estimation of risk.

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Karam, E. and Planchet, F. (2015) Combining Internal Data with Scenario Analysis. Modern Economy, 6, 563-577. doi: 10.4236/me.2015.65055.

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