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- W2993731824 abstract "El presente articulo es uno de los resultados de un proyecto de investigacion financiado por la Universidad EAFIT en el ano 2009. En el contexto del riesgo operacional, se hace un desarrollo formal de los metodos de Simulacion Montecarlo, el algoritmo de recursion de Panjer y la Aproximacion Analitica de Bocker y Kluppelberg, que son tres de las tecnicas mas utilizados para cuantificar ese riesgo en entidades financieras en el ambito mundial. Luego se desarrolla una aplicacion para un caso practico, aplicando los tres metodos, y se obtienen conclusiones sobre su desempeno relativo. ABSTRACTThis article is one of the outcomes of a research project financed by Universidad EAFIT in the year 2009. In the operational risk context, a formal development of Montecarlo simulation methods, Panjer recursion algorithm, as well as Bocker and Kluppelberg analytical approximation is done, which are three of the most used techniques in order to quantify this risk in financial institutions worldwide. Subsequently an application for a practical case is developed by applying the three methods, and conclusions about its relative performance are obtained." @default.
- W2993731824 created "2019-12-13" @default.
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- W2993731824 date "2010-04-01" @default.
- W2993731824 modified "2023-10-14" @default.
- W2993731824 title "Alternativas fundamentales para cuantificar el riesgo operacional" @default.
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