A Framework for Analysis and Prediction of Operational Risk Stress
A model for financial stress testing and stability analysis is presented. Given operational risk loss data within a time window, short-term projections are made using Loess fits to sequences of lognormal parameters. The projections can be scaled by a sequence of risk factors, derived from economic d...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-02-01
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| Series: | Mathematical and Computational Applications |
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| Online Access: | https://www.mdpi.com/2297-8747/26/1/19 |