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Working Papers (2012), ESSEC Business School

Modelling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach

CAPA SANTOS H., KRATZ Marie , MOSQUERA MUÑOZ F.V.

This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk profile, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the distributions of the sources, market risk profile, experts and operational losses, chosen here at a location parameter. It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wüthrich, and analyses macroeconomic effects on operational risk. It appears that severities of operational losses are more related to the macroeconomics environment than usually assumed.

CAPA SANTOS, H., KRATZ, M. and MOSQUERA MUÑOZ, F.V. (2012). Modelling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach. ESSEC Business School.