Essec\Faculty\Model\Contribution {#6196`
#_index: "academ_contributions"
#_id: "2070"
#_source: array:26 [``
"id" => "2070"
"slug" => "modeling-macroeconomic-effects-and-expert-judgements-in-operational-risk-a-bayesian-approach"
"yearMonth" => "2012-12"
"year" => "2012"
"title" => "Modeling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach"
"description" => "CAPA SANTOS, H., KRATZ, M. et MOSQUERA MUNOZ, F. (2012). Modeling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach. <i>Journal of Operational Risk</i>, 7(4), pp. 3-23."
"authors" => array:3 [``
0 => array:3 [``
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
`]
1 => array:1 [`
"name" => "CAPA SANTOS H."
`]
2 => array:1 [`
"name" => "MOSQUERA MUNOZ F."
`]
]
"ouvrage" => ""
"keywords" => array:7 [`
0 => "Quantitative risk management"
1 => "Solvency 2"
2 => "Basel II"
3 => "Bayesian inference"
4 => "Operational risk"
5 => "Macroeconomics dependence"
6 => "Loss distribution approach"
`]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://hal-essec.archives-ouvertes.fr/hal-00690448"
"publicationInfo" => array:3 [`
"pages" => "3-23"
"volume" => "7"
"number" => "4"
`]
"type" => array:2 [`
"fr" => "Articles"
"en" => "Journal articles"
`]
"support_type" => array:2 [`
"fr" => "Revue scientifique"
"en" => "Scientific journal"
`]
"countries" => array:2 [`
"fr" => null
"en" => null
`]
"abstract" => array:2 [`
"fr" => """
We present in this paper a contribution on operational risk modeling. We consider a general Bayesian context incorporating information on market risk profile, experts opinion and operational losses, taking into account the general macroeconomic environment as well. This modeling aims at estimating a characteristic parameter of the operational risk severity distribution function, using those sources of information.\n
It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wüthrich, and analyses the influence of macroeconomic effects on operational risk. Our theoretical model suggests that severities of operational losses are more related to the macroeconomic environment than usually assumed.
"""
"en" => """
We present in this paper a contribution on operational risk modeling. We consider a general Bayesian context incorporating information on market risk profile, experts opinion and operational losses, taking into account the general macroeconomic environment as well. This modeling aims at estimating a characteristic parameter of the operational risk severity distribution function, using those sources of information.\n
It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wüthrich, and analyses the influence of macroeconomic effects on operational risk. Our theoretical model suggests that severities of operational losses are more related to the macroeconomic environment than usually assumed.
"""
`]
"authors_fields" => array:2 [`
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
`]
"indexedAt" => "2024-02-22T08:22:00.000Z"
"docTitle" => "Modeling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>, CAPA SANTOS H., MOSQUERA MUNOZ F."
"docDescription" => "<span class="document-property-authors">KRATZ Marie, CAPA SANTOS H., MOSQUERA MUNOZ F.</span><br><span class="document-property-authors_fields">Systèmes d’Information, Sciences de la Décision et Statistiques</span> | <span class="document-property-year">2012</span>"
"keywordList" => "<a href="#">Quantitative risk management</a>, <a href="#">Solvency 2</a>, <a href="#">Basel II</a>, <a href="#">Bayesian inference</a>, <a href="#">Operational risk</a>, <a href="#">Macroeconomics dependence</a>, <a href="#">Loss distribution approach</a>"
"docPreview" => "<b>Modeling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach</b><br><span>2012-12 | Articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://hal-essec.archives-ouvertes.fr/hal-00690448" target="_blank">Modeling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach</a>"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 8.89791
+"parent": null
}