Risk capital reserve and measurement precision in modeling heavy-tailed single operational losses
Abstract
Heavy and long tails of loss distributions, an extremely high confidence level and parameter-estimation-based measurement techniques can lead to measurement errors in the calculation of capital reserve for extremal risks faced by financial institutions. However, studies on the connectedness between the capital reserve and the measurement uncertainty are surprisingly sparse. This paper attempts to simultaneously quantify single operational losses...
Paper Details
Title
Risk capital reserve and measurement precision in modeling heavy-tailed single operational losses
Published Date
Mar 1, 2020
Journal
Volume
15
Issue
1
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