Abstract
This paper follows the different steps necessary for implementing a LDA in practice: - Step 1: Severity Estimation - Step 2: Frequency Estimation - Step 3: Capital Charge Computations - Step 4: Confidence Interval - Step 5: Self Assessment and Scenario Analysis For each of these steps, we try to give illustrative examples and we gather all demanding mathematics into subsections named Technical Appendix. We hope it will allow for a more reader-friendly paper.
Series
Working Paper
Year
2003
Institution
Groupe de Recherche Opérationnelle, Crédit Lyonnais
Keywords
Operational risk; estimation; Confidence interval; self assesment and scenario analysis
Categories
Operational Risk
