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Theoretical Sensitivity Analysis for Quantitative Operational Risk Measurement
Year Of Publication: 2011
Month Of Publication: April
Pages: 17
Download Count: 8
View Count: 1781
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 4-3-2011
Publisher: Administrator
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.
Kato, Takashi Sign in to follow this author
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