Keep it real: tail probabilities of compound distributions
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
CLICK HERE TO VIEW THE PDF
Igor Halperin proposes an analytical approach to calculating the tail probabilities of compound distributions that have individual components with heavy tails. This offers an alternative to more standard methods, such as Monte Carlo or the fast Fourier transform, which are traditionally used for such problems. As a practical application, the author uses his method to compute the operational value-at-risk of a financial institution
Many practical problems in applied
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Op risk data: TD Bank takes US reg pill in purported drug-related AML fails
Also: SCB fraud bill rising fast; Postbank pain for Deutsche Bank. Data by ORX News
Clear warning on escape hatch for optimisation trades
CCPs fear Emir clearing mandate carve-out for portfolio rebalancing could be abused
One year on, regulators still want a cure for bank runs
Broad support for higher outflow assumptions on uninsured deposits, but that won’t save insolvent banks
Falling T2 balances bode well for eurozone’s stability
Impact of fragmentation would be less severe today than in 2010s, says Marcello Minenna
For a growing number of banks, synthetics are the real deal
More lenders want to use SRTs to offload credit risk, but old hands say they have a long road ahead
Did Fed’s stress capital buffer blunt CCAR?
Experts fear flagship test’s use as a capital top-up has undermined its role in risk management
How Ally found the key to GenAI at the bottom of a teacup
Risk-and-tech chemistry – plus Microsoft’s flexibility – has seen US lender leap from experiments to execution
Industry urges focus on initial margin instead of intraday VM
CPMI-Iosco says scheduled variation margin is better than ad hoc calls by clearing houses
Most read
- Breaking out of the cells: banks’ long goodbye to spreadsheets
- Too soon to say good riddance to banks’ public enemy number one
- Industry calls for major rethink of Basel III rules