Tags » Operational Risk

Prediction Intervals for Poisson Regression

Different from the confidence interval that is to address the uncertainty related to the conditional mean, the prediction interval is to accommodate the additional uncertainty associated with prediction errors. 696 more words

Statistical Models

Obstinate OpRisk

Insurers and banks are currently grappling with how best to model operational risk. Many firms struggle to come up with sensible figures that can past any proper validation criteria when faced with issues like limited applicable data, correlation with other risks, aggregation challenges, and the impact of prospective operational risks from the use of new technology. 96 more words

Insurance Models

Calculate Leave-One-Out Prediction for GLM

In the model development, the “leave-one-out” prediction is a way of cross-validation, calculated as below:
1. First of all, after a model is developed, each observation used in the model development is removed in turn and then the model is refitted with the remaining observations… 198 more words

Statistical Models

Download Federal Reserve Economic Data (FRED) with Python

In the operational loss calculation, it is important to use CPI (Consumer Price Index) adjusting historical losses. Below is an example showing how to download CPI data online directly from Federal Reserve Bank of St. 269 more words


Modeling Frequency in Operational Losses with Python

Poisson and Negative Binomial regressions are two popular approaches to model frequency measures in the operational loss and can be implemented in Python with the statsmodels package as below: 511 more words

Statistical Models

Modeling Severity in Operational Losses with Python

When modeling severity measurements in the operational loss with Generalized Linear Models, we might have a couple choices based on different distributional assumptions, including Gamma, Inverse Gaussian, and Lognormal. 633 more words

Statistical Models

Emergency Communications App Improves Corporate Resilience

Today is a very exciting day for YUDU!

We are thrilled to announce the launch of our cutting-edge Emergency Communications App, which aims to improve corporate resilience by delivering visibility on staff safety and limiting the duration and impact caused by a serious incident. 259 more words