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Nonparametric Estimation of Operational Risk and Expected Shortfall
Company: Department of Econometrics and Business Statistics, Monash University
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: October
Pages: 54
Download Count: 18
View Count: 1185
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-29-2013
Publisher: Administrator
Summary
In this paper, Expected Loss and OpVaR are estimated consistently and efficiently by nonparametric methods, which use the large (tail) losses as primary inputs. In addition, the 95% intervals for the underlying true OpVaR are estimated by the weighted empirical likelihood method. As an alternate measure to OpVaR, the Expected Shortfall - a coherent risk- is also estimated. The empirical ndings show that the interval estimates are asymmetric, with very large upper bounds, highlighting the extent of uncertainties associated with the 99.9% OpVaR point estimates.
WP 23/13
Author(s)
Tursunalieva, Ainura Sign in to follow this author
Silvapulle, Paramsothy Sign in to follow this author
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