Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

operational sign in to follow this
loss sign in to follow this
distribution sign in to follow this
time sign in to follow this
scaling sign in to follow this
square sign in to follow this
root sign in to follow this
Categories:

VaR Uses sign in to follow this
--Operational Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Operational VaR: A Closed-Form Approximation
Year Of Publication: 2005
Month Of Publication: December
Pages: 11
Download Count: 955
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 12-14-2005
Publisher: Administrator
Summary
We investigate a simple loss distribution model for operational risk. We show that, when loss data are heavy-tailed (which in practice they are), a simple closed-form approximation for the OpVaR can be obtained. We apply this approximation in particular to the Pareto severity model, for which we obtain also a simple time scaling rule for Operational VaR.
Author(s)
Bocker, Klaus Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
This document's citation network:
Similar Documents:
Documents that cite this work:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile