摘要翻译：
根据《巴塞尔协议II》的要求，许多银行采用损失分配方法来量化操作风险资本费用。通常的做法是使用年度损失分布的0.999分位数来估计资本费用，该分布使用频率和严重程度分布参数的点估计数来计算。参数估计的不确定性通常被忽略。对考虑参数不确定性的银行来说，一个令人不快的后果是资本要求的提高。本文演示了如何使用贝叶斯框架来考虑参数不确定性，该框架还允许将专家意见和外部数据纳入估计过程。
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英文标题：
《Estimation of Operational Risk Capital Charge under Parameter
  Uncertainty》
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作者：
Pavel V. Shevchenko
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  Many banks adopt the Loss Distribution Approach to quantify the operational risk capital charge under Basel II requirements. It is common practice to estimate the capital charge using the 0.999 quantile of the annual loss distribution, calculated using point estimators of the frequency and severity distribution parameters. The uncertainty of the parameter estimates is typically ignored. One of the unpleasant consequences for the banks accounting for parameter uncertainty is an increase in the capital requirement. This paper demonstrates how the parameter uncertainty can be taken into account using a Bayesian framework that also allows for incorporation of expert opinions and external data into the estimation procedure.
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PDF链接：
https://arxiv.org/pdf/0904.1771