Journal of Operational Risk

Risk.net

Operational risk capital: asymptotics in the case of heavy-tailed severity

Anupam Sahay, Zailong Wan, Brian Keller

ABSTRACT

We present a second-order asymptotic approximation of operational value-at-risk capital, in the case of heavy-tailed severity distribution. This approximation, along with the well-known first-order result, is compared with simulation for a range of empirically relevant frequency and severity characteristics.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: