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Lambrigger, D.D., Shevchenko, P.V. and Wüthrich, M.V. (2008) Data Combination under Basel II and Solvency 2: Operational Risk Goes Bayesian. Bulletin Francaisd’ Actuariat, 8, 4-13.

has been cited by the following article:

• TITLE: Combining Internal Data with Scenario Analysis

  AUTHORS: Elias Karam, Frédéric Planchet

  KEYWORDS: Bayesian Inference, Operational Risk, MCMC

  JOURNAL NAME: Modern Economy, Vol.6 No.5, May 22, 2015

  ABSTRACT: A Bayesian inference approach offers a methodical concept that combines internal data with experts’ opinions. Joining these two elements with precision is certainly one of the challenges in operational risk. In this paper, we are interested in applying a Bayesian inference technique in a robust manner to be able to estimate a capital requirement that best approaches the reality. In addition, we illustrate the importance of a consistent scenario analysis in showing that the expert opinion coherence leads to a robust estimation of risk.