Technical paper/Value-at-risk (VAR)

Looking forward to back testing

With increasing challenges to measure value-at-risk and meet high regulatory requirements, the focus has turned to back testing as a way of assuring models' adequacy. Carsten S Wehn proposes a new regime of back testing, combining state-of-the-art…

Operational VAR: meaningful means

Making the assumption that the distribution of operational loss severity has finite mean, Klaus Böcker and Jacob Sprittulla suggest a refined version of the analytical operational value-at-risk theorem derived in Böcker & Klüppelberg (2005), which…

Dealing with seller's risk

The risk of trade receivables securitisations comes from both the pool of assets and the seller of the assets. Vivien Brunel develops a model for securitisation exposures that deals with both risks, and analyses in detail the interplay between debtors'…

Operational VAR: a closed-form approximation

Klaus Böcker and Claudia Klüppelberg investigate a simple loss distribution model for operational risk. They show that, when loss data is heavy-tailed (which in practice it is), a simple closed-form approximation for operational VAR can be obtained. They…

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