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2017-06-29

Entropy, in the framework of probability theory is defined as a measure of the degree of uncertainty or unpredictability of a system, where its magnitude certainly depends of the quantity of information available. Anything that we cannot explain is assigned as much uncertainty or maximum entropy as possible. A good example comes from the field of finance where the hypothesis that markets respond … Full Post

2017-06-11

The Maxentropic methodologies that we will mention in this article can handle with many of the problems found in Operational Risk, and they can provide a good density reconstruction over the entire range of values. So far, banks use the loss distributional approach to determine capital charge through historical data using information about the frequency and severity (loss amount) of losses to estimate … Full Post