Keywords: Capital charge
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Journal Articles
Journal of Risk Finance (2012) 13 (5): 476–490.
Published: 02 November 2012
..., and then leads to the underestimation of the capital charge. However, zero‐modified Poisson distributions perform well the frequency. In addition, basic negative binomial and its related zero‐modified distributions, in their turn, offer a good prediction of count events. To choose the distribution that suits...

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