Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257676 
Year of Publication: 
2020
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 8 [Issue:] 1 [Article No.:] 9 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the loss distribution approach (LDA) and Bayesian logic. The results show that internal models are of great importance in the process of allocating one's own funds, and the use of the Delphi method for modelling expert opinion is very useful in ensuring the reliability of estimates.
Subjects: 
Bayesian approach
capital allocation
Delphi method
expert opinion
Monte Carlo
value at risk
JEL: 
C11
C13
C15
G21
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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