{"id":"W2943460946","doi":"10.3390/risks7020050","title":"Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement","year":2019,"lang":"en","type":"article","venue":"Risks","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":7,"is_retracted":false,"has_abstract":true,"ca_institutions":"Western University","funders":"","keywords":"Monte Carlo method; Quantile; Computer science; Sampling (signal processing); Monte Carlo integration; Importance sampling; Statistics; Econometrics; Hybrid Monte Carlo; Mathematics; Markov chain Monte Carlo","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.006770148,0.0008880185,0.0009158686,0.0014313,0.0005051695,0.002066099,0.001640613,0.001510798,0.003972504],"category_scores_gemma":[0.04060991,0.0005154551,0.0007833951,0.00108579,0.001204004,0.001647885,0.001465501,0.002184303,0.0006735656],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001037385,"about_ca_system_score_gemma":0.001650843,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002887795,"about_ca_topic_score_gemma":0.002556632,"domain_scores_codex":[0.9957009,0.002974474,0.000149195,0.0003412813,0.0006919955,0.0001420753],"domain_scores_gemma":[0.9775004,0.01839361,0.001330475,0.001414535,0.001201958,0.0001589855],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00005816298,0.00008401918,0.002627047,0.0001841,0.00006725157,0.0001304938,0.0001886225,0.7988456,0.001387031,0.154281,0.001003626,0.0411431],"study_design_scores_gemma":[0.000008063452,0.00003574272,0.0004418247,0.00006102925,0.00001151446,0.0000829062,0.00002694192,0.9483224,0.0006997566,0.04908596,0.001205906,0.00001795989],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.005862511,0.0002023319,0.9919026,0.0001600467,0.00001864837,0.00004669927,0.00003575309,0.0000726805,0.00169875],"genre_scores_gemma":[0.3754111,0.0007351461,0.6211113,0.0001767556,0.00009863353,0.0004276016,0.000203305,0.0001333327,0.001702764],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.006770148,"threshold_uncertainty_score":0.03580439,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05299582202422654,"score_gpt":0.2614031554464696,"score_spread":0.2084073334222431,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}