  To meet the Basel II regulatory requirements for the Advanced Measurement
Approaches in operational risk, the bank's internal model should make use of
the internal data, relevant external data, scenario analysis and factors
reflecting the business environment and internal control systems. One of the
unresolved challenges in operational risk is combining of these data sources
appropriately. In this paper we focus on quantification of the low frequency
high impact losses exceeding some high threshold. We suggest a full credibility
theory approach to estimate frequency and severity distributions of these
losses by taking into account bank internal data, expert opinions and industry
data.
