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Treatment of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures

Chernobai, Anna , Menn, Christian , Moscadelli, Marco , Rachev, Svetlozar , & Trueck, Stefan (2006) Treatment of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures. In The Advanced Measurement Approach to Operational Risk. Risk Books, Spain, pp. 145-168.

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ID Code: 21448
Item Type: Book Chapter
Keywords: Value-At-Risk, Operational Risk, Back Testing, Truncated Data
ISBN: 1-904339-88-3
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Institutions (incl. Banking) (150203)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 17 Jun 2009 22:47
Last Modified: 11 Aug 2011 02:58

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