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

operational risk sign in to follow this
sensitivity analysis sign in to follow this
regular variation sign in to follow this
heavy-tails sign in to follow this
advanced measurement app 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
Theoretical Sensitivity Analysis for Quantitative Operational Risk Measurement
Year Of Publication: 2011
Month Of Publication: April
Pages: 17
Download Count: 8
View Count: 1503
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 4-3-2011
Publisher: Administrator
Summary
We study an asymptotic behaviour of the difference between value-at-risks VaR(L) and VaR(L+S) for heavy-tailed random variables L and S as an application to sensitivity analysis of quantitative operational risk management in the framework of an advanced measurement approach (AMA) of Basel II. We have different types of results according to the magnitude relationship of thickness of tails of L and S. Especially if the tail of S is enough thinner than the one of L, then VaR(L + S) - VaR(L) is asymptotically equivalent to an expected loss of S when L and S are independent. We also give some generalized results without the assumption of independence.
Author(s)
Kato, Takashi Sign in to follow this author
This document's citation network:
Similar Documents:
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