The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
r
lda
copula
value-at-risk
risk-management
extreme-value-statistics
copula-models
operational-risk
loss-distribution
loss-distribution-approach
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Updated
Mar 4, 2021 - R