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Ergashev, 2009 - Google Patents

Estimating the lognormal-gamma model of operational risk using the MCMC method

Ergashev, 2009

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Document ID
4340774000096582727
Author
Ergashev B
Publication year
Publication venue
Available at SSRN 1316428

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Snippet

The lognormal-gamma distribution, being a heavy-tailed distribution, is very attractive from the operational risk modeling perspective because historical operational losses also exhibit heavy tails. Unfortunately, fitting this model requires two severe challenges to be properly …
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