Tags » Operational Risk

Using Tweedie Parameter to Identify Distributions

In the development of operational loss models, it is important to identify which distribution should be used to model operational risk measures, e.g. frequency and severity. 373 more words

Statistical Models

Double Poisson Regression in SAS

In the previous post (https://statcompute.wordpress.com/2016/11/27/more-about-flexible-frequency-models), I’ve shown how to estimate the double Poisson (DP) regression in R with the gamlss package. The hurdle of estimating DP regression is the calculation of a normalizing constant in the DP density function, which can be calculated either by the sum of an infinite series or by a closed form approximation. 285 more words

Statistical Models

Risk and you

Operational Risk Management is my core strength in my professional life.  What I always wonder – do I practise in my personal life or see people practising what I preach and practise in terms of operational risk in professional set-up.   91 more words

Operational Risk

SAS Macro Calculating Goodness-of-Fit Statistics for Quantile Regression

As shown by Fu and Wu in their presentation (https://www.casact.org/education/rpm/2010/handouts/CL1-Fu.pdf), the quantile regression is an appealing approach to model severity measures with high volatilities due to its statistical characteristics, including the robustness to extreme values and no distributional assumptions. 427 more words

Statistical Models

What is Risk Control Self Assessment?

RCSA (Risk Control Self Assessment) is an empowering method/process by which management and staff of all levels collectively identify and evaluate risks and associated controls. It is a technique that adds value by increasing an operating unit’s involvement in designing and maintaining control and risk systems as well as identifying risk exposures and determining corrective action. 882 more words

Risk Management

Simplify the day-to-day with investment operations automation, part 1

By Inderjit Gawera

Meeting the demands of daily operations can be difficult especially with ever-increasing volumes, fund and instrument innovation, evolving regulation and tax rules, and tighter servicing agreements. 249 more words

Asset Managers

What are difference between Business Risk and Financial Risk

The risk is the possibility of loss or danger. The equity shareholders have to go through with two types of risk, i.e. Business Risk, and  673 more words

Risk Management