Original paper

Maximum likelihood estimation error and operational value-at-risk stability

Volume: 14, Issue: 1, Pages: 1 - 23
Published: Jan 1, 2019
Abstract
The challenge of using small sample sizes for operational risk capital models fitted via maximum likelihood estimation is well recognized, yet the literature generally provides warning examples rather than a systematic approach. We present a general framework for analyzing maximum likelihood estimation error on operational value- at-risk as a function of sample size for five severity distributions commonly used in operational risk capital...
Paper Details
Title
Maximum likelihood estimation error and operational value-at-risk stability
Published Date
Jan 1, 2019
Volume
14
Issue
1
Pages
1 - 23
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