https://github.com/rena95/Loss-Distribution-Approach
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
https://github.com/rena95/Loss-Distribution-Approach
copula copula-models extreme-value-statistics lda loss-distribution loss-distribution-approach operational-risk r risk-management value-at-risk
Last synced: 4 months ago
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The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
- Host: GitHub
- URL: https://github.com/rena95/Loss-Distribution-Approach
- Owner: rena95
- License: gpl-3.0
- Created: 2021-02-25T15:58:54.000Z (about 4 years ago)
- Default Branch: main
- Last Pushed: 2021-03-04T15:15:10.000Z (about 4 years ago)
- Last Synced: 2024-08-13T07:11:37.637Z (8 months ago)
- Topics: copula, copula-models, extreme-value-statistics, lda, loss-distribution, loss-distribution-approach, operational-risk, r, risk-management, value-at-risk
- Language: R
- Homepage:
- Size: 33.2 KB
- Stars: 7
- Watchers: 1
- Forks: 2
- Open Issues: 0
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Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# Loss-Distribution-Approach
The repo contains the main topics carried out in [my master's thesis](https://www.researchgate.net/publication/349692685_Extreme_Value_Theory_and_copulas_in_the_Loss_Distribution_Approach_A_real_application_to_measure_operational_risk_capital_requirement "Thesis") on operational risk. In particular, it is described how to implement the so called **Loss Distribution Approach** (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.