This paper mainly applies model selection information criteria to operational risk models subject to data truncation.
People also ask
What is model selection criteria?
Is model risk the same as operational risk?
AUTHOR=Yu Daoping TITLE=Comparing Model Selection Criteria to Distinguish Truncated Operational Risk Models JOURNAL=Frontiers in Applied Mathematics and ...
In this paper three information criteria are employed to assess the truncated operational risk models. The performances of the three information criteria on ...
Jul 8, 2021 · This paper presents truncation probability estimates for loss severity data and a consistent quantile scoring function on annual loss data as ...
In this paper three information criteria are employed to assess the truncated operational risk models. The performances of the three information criteria on ...
In this dissertation, we focus on statistical aspects of operational risk modeling. Specifically, we are interested in understanding the effects of model ...
These studies have exemplified the need for a comparative analysis of various models. Even though the measurement of operational risk is still evolving,.
Jul 26, 2018 · Our severity distribution selection process combines truncation prob- ability estimates with Akaike Information Criterion (AIC), Bayesian ...
Oct 30, 2023 · This paper investigates the model uncertainty and selection procedure when various parametric models are constructed to accommodate such left-truncated and ...
Missing: Operational | Show results with:Operational
These techniques enable the objective assessment of the evolutionary relationships of the characteristics of operational risks to be determined, thus enabling a ...