Medidas de riesgo para riesgo operacional con un modelo de pérdida agregada Poisson-Lindley

  1. Hernández Bastida, Agustín
  2. Fernández Sánchez, María del Pilar
Revista:
Pecunia: revista de la Facultad de Ciencias Económicas y Empresariales

ISSN: 1699-9495

Año de publicación: 2010

Número: 11

Páginas: 1-26

Tipo: Artículo

DOI: 10.18002/PEC.V0I11.627 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Otras publicaciones en: Pecunia: revista de la Facultad de Ciencias Económicas y Empresariales

Resumen

This paper considers the determination of the risk measures in Operational Risk, i.e. the determination of a high level quantile. The Loss Distribution Approach in the Advanced Measurement Approach is adopted. The risk measures, obtained from the aggregate loss distribution and from the predictive distribution are determined and compared, using the Triangular and Gamma distributions as structure functions of the risk profiles.

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