# Blog Archives

## Estimating Quasi-Poisson Regression with GLIMMIX in SAS

October 14, 2015
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When modeling the frequency measure in the operational risk with regressions, most modelers often prefer Poisson or Negative Binomial regressions as best practices in the industry. However, as an alternative approach, Quasi-Poisson regression provides a more flexible model estimation routine with at least two benefits. First of all, Quasi-Poisson regression is able to address both

## Estimating Quasi-Poisson Regression with GLIMMIX in SAS

October 14, 2015
By

When modeling the frequency measure in the operational risk with regressions, most modelers often prefer Poisson or Negative Binomial regressions as best practices in the industry. However, as an alternative approach, Quasi-Poisson regression provides a more flexible model estimation routine with at least two benefits. First of all, Quasi-Poisson regression is able to address both

## Some Considerations of Modeling Severity in Operational Losses

August 16, 2015
By

In the Loss Distributional Approach (LDA) for Operational Risk models, multiple distributions, including Log Normal, Gamma, Burr, Pareto, and so on, can be considered candidates for the distribution of severity measures. However, the challenge remains in the stress testing exercise, e.g. CCAR, to relate operational losses to macro-economic scenarios denoted by a set of macro-economic

## Some Considerations of Modeling Severity in Operational Losses

August 16, 2015
By

In the Loss Distributional Approach (LDA) for Operational Risk models, multiple distributions, including Log Normal, Gamma, Burr, Pareto, and so on, can be considered candidates for the distribution of severity measures. However, the challenge remains in the stress testing exercise, e.g. CCAR, to relate operational losses to macro-economic scenarios denoted by a set of macro-economic

## Are These Losses from The Same Distribution?

June 14, 2015
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In Advanced Measurement Approaches (AMA) for Operational Risk models, the bank needs to segment operational losses into homogeneous segments known as “Unit of Measures (UoM)”, which are often defined by the combination of lines of business (LOB) and Basel II event types. However, how do we support whether the losses in one UoM are statistically

## Are These Losses from The Same Distribution?

June 14, 2015
By

In Advanced Measurement Approaches (AMA) for Operational Risk models, the bank needs to segment operational losses into homogeneous segments known as “Unit of Measures (UoM)”, which are often defined by the combination of lines of business (LOB) and Basel II event types. However, how do we support whether the losses in one UoM are statistically

May 25, 2015
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## Granger Causality Test

May 25, 2015
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May 10, 2015
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In R, there are two ways to read a block of the spreadsheet, e.g. xlsx file, as the one shown below. The xlsx package provides the most intuitive interface with readColumns() function by explicitly defining the starting and the ending columns and rows. However, if we can define a named range for the block in

May 10, 2015
By

In R, there are two ways to read a block of the spreadsheet, e.g. xlsx file, as the one shown below. The xlsx package provides the most intuitive interface with readColumns() function by explicitly defining the starting and the ending columns and rows. However, if we can define a named range for the block in