CUTTING EDGE OPERATIONAL RISK Operational VAR: a closedform approximation - The authors investigate a simple loss distribution model for operational risk. They show that, when loss data is heavytailed (which in practice it is), a simple closed-form approximation for operational VAR can be obtained. They apply this approximation in particular to the Pareto severity model, for which they also obtain ...
| Year of publication: |
2005
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| Authors: | Böcker, Klaus ; Klüppelberg, Claudia |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 18.2005, 12, p. 90-94
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