Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk

Acronyms

ABC	approximate Bayesian computation
ALP	accumulated loss policy
a.s.	almost surely
AMA	advanced measurement approach
APT	arbitrage pricing theory
BCRLB	Bayesian Cramer–Rao lower bound
BCBS	Basel Committee on Banking Supervision
BIS	Bank for International Settlements
CV	co-variation
CD	co-difference
CRLB	Cramer–Rao lower bound
CLP	combined loss policy
CVaR	conditional value at risk
DFT	discrete Fourier transform
EVT	extreme value theory
EVI	extreme value index
ES	expected shortfall
FFT	fast Fourier transform
GLM	generalized linear models
GAM	generalized additive models
GLMM	generalized linear mixed models
GAMM	generalized additive mixed models
GAMLSS	generalized additive models for location scale and shape
HMCR	higher moment coherent risk measure
HILP	haircut individual loss policy
ILPU	individual loss policy uncapped
ILPC	individual loss policy capped
i.i.d.	independent and identically distributed
LDA	loss distribution approach
MCMC	Markov chain Monte Carlo
MC	Monte Carlo
MLE	maximum likelihood estimator
MPT	modern portfolio theory
OpRisk	operational risk
PMCMC	particle Markov chain Monte Carlo
r.v.	random variable
SMC	sequential Monte Carlo
SRM	spectral risk measure
SLA	Single Loss Approximation
s.t.	such that
TCE	tail conditional expectation
TTCE	tempered tail conditional expectation
VaR	value at risk
Vco	variational coefficient
w.r.t.	with respect to