Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast … operational loss exposure. However, the ability of past losses to predict exposure, particularly tail exposure, has not been … thoroughly examined in the literature. In this paper, we test whether simple metrics derived from past loss experience are …

during the 1994-2004 period. The tail of the loss distribution (a Pareto distribution without expectation whose …

Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast … operational loss exposure. However, the ability of past losses to predict exposure, particularly tail exposure, has not been … thoroughly examined in the literature. In this paper, we test whether simple metrics derived from past loss experience are …