Measuring the capital charge for operational risk of a bank with the large deviation approach.
Zhaoyang LuPublished in: Math. Comput. Model. (2013)
Keyphrases
- operational risk
- large deviations
- commercial banks
- risk management
- credit risk
- credit card
- queue length
- heavy tailed
- state dependent
- importance sampling
- queueing systems
- asymptotically optimal
- marketing strategies
- multi class
- machine learning
- steady state
- financial data
- markov processes
- decision support system
- generalization bounds
- decision makers
- decision making
- learning algorithm