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loss-distribution-approach

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rena95 / Loss-Distribution-Approach

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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.

r lda copula value-at-risk risk-management extreme-value-statistics copula-models operational-risk loss-distribution loss-distribution-approach
  • Updated Mar 4, 2021
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