Computer-implemented systems and methods for parameter risk estimation for operational risk
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United States of America Patent
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Mar 5, 2013
Grant Date -
Aug 18, 2011
app pub date -
Feb 16, 2010
filing date -
Feb 16, 2010
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Abstract
Systems and methods are provided for determining a loss mitigation reserve requirement based on a risk measure estimation and a confidence interval associated with the risk measure estimation. Distribution parameters of a frequency model and distribution parameters of a severity model are determined, and a covariance matrix representing the determined parameters of the distribution of the frequency model and the determined parameters of distribution of the severity model is generated. One or more analytical derivatives of a cumulative distribution function of the frequency model, one or more analytical derivatives of a cumulative distribution function of the severity model, and a parameter covariance matrix are calculated. A confidence interval is computed for the risk measure estimation based on a vector of derivatives of a cumulative distribution function.
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