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operational risk sign in to follow this
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Asymptotics for Operational Risk quantified with Expected Shortfall
Year Of Publication: 2008
Month Of Publication: March
Pages: 27
Download Count: 9
View Count: 1410
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 4-3-2011
Publisher: Administrator
Summary
In this paper we estimate operational risk by using the convex risk
measure Expected Shortfall (ES) and provide an approximation as the confidence level converges to 100% in the univariate case. Then we extend this approach to the multivariate case, where we represent the dependence structure by using a Lévy copula as in [6]. We compare our results to the one obtained in [6] for Operational VaR and discuss their practical relevance.
This document is published in Astin Bulletin (volume 39), pp. 735-752.
Author(s)
Biagini, Francesca Sign in to follow this author
Ulmer, Sascha Sign in to follow this author
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