Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement

We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be analytically d...

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Bibliografski detalji

Glavni autori:	Francesca Greselin, Fabio Piacenza, Ričardas Zitikis
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2019-05-01
Serija:	Risks
Teme:	advanced measurement approach confidence interval Monte Carlo operational risk value-at-risk
Online pristup:	https://www.mdpi.com/2227-9091/7/2/50
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