Open Access. Powered by Scholars. Published by Universities.®
- Publication Type
Articles 1 - 2 of 2
Full-Text Articles in Analysis
Estimating The Statistics Of Operational Loss Through The Analyzation Of A Time Series, Maurice L. Brown
Estimating The Statistics Of Operational Loss Through The Analyzation Of A Time Series, Maurice L. Brown
Theses and Dissertations
In the world of finance, appropriately understanding risk is key to success or failure because it is a fundamental driver for institutional behavior. Here we focus on risk as it relates to the operations of financial institutions, namely operational risk. Quantifying operational risk begins with data in the form of a time series of realized losses, which can occur for a number of reasons, can vary over different time intervals, and can pose a challenge that is exacerbated by having to account for both frequency and severity of losses. We introduce a stochastic point process model for the frequency distribution …
On The Evolution Of Probability-Weighting Function And Its Impact On Gambling, Steven Li, Yun Hsing Cheung
On The Evolution Of Probability-Weighting Function And Its Impact On Gambling, Steven Li, Yun Hsing Cheung
Research outputs pre 2011
It is well known that individuals treat losses and gains differently and there exists non-linearity in probability. The asymmetry between gains and losses is highlighted by the reflection effect. The non-linearity in probability is described by the curvature of the probability-weighting function. This paper studies the evolution of the probability-weighting function. It is assumed that the probability weighting for an individual follows a mean-reverting stochastic process. The Monte Carlo simulation technique is employed to study the evolution of the weighting function. The evolution of the probability- weighting function implies that an individual does not treat gains or losses consistently over …