Ekonomi Bisnis
Vol 21, No 2 (2016)

LOSS SEVERITY DISTRIBUTION ESTIMATION OF OPERATIONAL RISK USING GAUSSIAN MIXTURE MODEL FOR LOSS DISTRIBUTION APPROACH

Seli Siti Sholihat (Department of Accounting, Faculty of Economics, Universitas Gunadarma)
Hendri Murfi (Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Indonesia)

Article Info

Publish Date
20 Sep 2017

Abstract

Banks must be able to manage all of banking risk; one of them is operational risk. Banks manage operational risk by calculates estimating operational risk which is known as the economic capital (EC). Loss Distribution Approach (LDA) is a popular method to estimate economic capital(EC).This paper propose Gaussian Mixture Model(GMM) for severity distribution estimation of  loss distribution approach(LDA). The result on this research is the value at EC of LDA method using GMM is smaller    2 % - 2, 8 % than the value at EC of LDA using existing distribution model. Keywords:  Loss Distribution Approach, Gaussian Mixture Model, Bayesian Information Criterion, Operational Risk.

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Journal Info
Ekonomi Bisnis
Website

Abbrev

ekbis

Publisher

Universitas Gunadarma

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

Description

Jurnal Ilmiah Ekonomi Bisnis is a journal through a peer-review process. Jurnal Ilmiah Ekonomi Bisnis is intended for academics and researchers to publish their articles which is an original text that has not been published in another journal. The focus and scope are in the fields of management, ...