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Effect of a Data Collection Threshold in the Loss Distribution Approach
Company: Operational Risk Management
Year Of Publication: 2006
Month Of Publication: November
Pages: 10
Download Count: 566
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 11-10-2006
Publisher: Administrator
Summary
This paper shows that, in the context of the loss distribution approach tooperational risk measurement, neglecting events below loss data collec-tion threshold does not lead to large errors in the aggregated expectedloss, quantiles, and unexpected loss, for threshold values up to fairlylarge percentiles of the severity distribution.
Author(s)
Mignola, Giulio Sign in to follow this author
Ugoccioni, Roberto Sign in to follow this author
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