Ishitani, Kensuke; Sato, Kenichi - In: Asia-Pacific Financial Markets 20 (2013) 3, pp. 283-309
A financial institution that adopts an advanced measurement approach (AMA) as a method of computing operational risk capital has to measure 99.9 % value-at-risk (VaR) as the amount of an operational risk. The most popular method to satisfy the AMA standards requires the evaluation of aggregate...
