Articles by Kevin Panman
Quantification of the estimation risk inherent in loss distribution approach models
In this paper, the authors contribute to the measurement of model risk by focusing on the quantification of estimation risk.
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.
A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk
The objective of this paper is to compare numerical approximation techniques in terms of their practical usefulness and potential applicability in an operational risk context.