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A Semi-Parametric Approach to Estimating the Operational Risk and Expected Shortfall
Year Of Publication: 2013
Month Of Publication: September
Resource Link: Click here to open
Pages: 28
Download Count: 0
View Count: 1648
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-25-2013
Publisher: Administrator
This paper proposes some improvements to advanced measurement approach (AMA) to modelling operational losses and applies this approach to US business losses. The AMA involves, among others, modelling a loss severity distribution and estimating its Expected Loss and the 99.9% operational value-at-risk (OpVaR). With our improvements to peak-over-threshold (POT) method, the parameters of the generalised Pareto distribution fitted to tail losses were estimated consistently and efficiently. From these parameter estimates, Expected Loss and OpVaR were also correctly estimated. Additionally, this paper estimated a coherent risk measure known as Expected Shortfall as an alternative to OpVaR. Applying the improved POT method to four business-lines and three event-types operational losses, we found that estimates of OpVaR can be much lower than those of Expected Shortfall.
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Tursunalieva, Ainura Sign in to follow this author
Silvapulle, Paramsothy Sign in to follow this author
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