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- Title
THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT.
- Authors
KATO, TAKASHI
- Abstract
We study the asymptotic behavior of the difference between the values at risk (VaR) and for heavy-tailed random variables and with for application in sensitivity analysis of quantitative operational risk management within the framework of the advanced measurement approach of Basel II (and III). Here, describes the loss amount of the present risk profile and describes the loss amount caused by an additional loss factor. We obtain different types of results according to the relative magnitudes of the thicknesses of the tails of and . In particular, if the tail of is sufficiently thinner than that of , then the difference between prior and posterior risk amounts is asymptotically equivalent to the expectation (expected loss) of .
- Subjects
RISK -- Mathematical models; SENSITIVITY analysis; OPERATIONAL risk; BASEL II (2004); FINANCIAL risk management; VALUE at risk; RANDOM variables
- Publication
International Journal of Theoretical & Applied Finance, 2017, Vol 20, Issue 5, p-1
- ISSN
0219-0249
- Publication type
Article
- DOI
10.1142/S0219024917500327