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Persistent link: https://www.econbiz.de/10003831746
We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be...
Persistent link: https://www.econbiz.de/10012019128
Persistent link: https://www.econbiz.de/10013177181