APPLICATION OF BAYESIAN INFERENCE IN DETERMINATING VAR (VALUE-AT-RISK) OPERATIONAL RISK
An Operational risk is a type of risk which is regulated in Basel II Accord. The difficulty in predicting this risk is mainly because its characteristics, e.g. ”low frequency but high severity” which can cause systemic hazard in financial institution. Therefore, the accuracy in determinating the...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/18579 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |