Operational VaR: a Closed-Form Approximation
نویسندگان
چکیده
Klaus Böcker and Claudia Klüppelberg investigate a simple loss distribution model for operational risk. They show that, when loss data are heavy-tailed (which in practice they are), a simple closed-form approximation for the OpVaR can be obtained. They apply this approximation in particular to the Pareto severity model, for which they obtain also a simple time scaling rule for the operational VaR.
منابع مشابه
Value at Risk (VaR): A new technique using Multilevel Monte Carlo Simulation for a derivative portfolio
This paper will try to look into the two important methods for the calculation of Value at Risk (VaR) for non linear portfolio using Monte Carlo Simulation method. The two techniques Closed form VaR and Multilevel Monte Carlo VaR for valuing the derivative portfolio are explained in details. In case of multilevel Monte Carlo simulation, it has been found that with decrease in the number of inne...
متن کاملPrecision Closed-form Solution for Out-of-plane Vibration of Rectangular Plates via Trigonometric Shear Deformation Theory
In this study, the new refine trigonometric shear deformation plate theory is used to study the out-of-plane vibration of the rectangular isotropic plates with different boundary conditions. The novelty of the research is that the analytical precision closed-form solution is developed without any use of approximation for a combination of six different boundary conditions; specifically, two oppo...
متن کاملMultivariate Operational Risk: Dependence Modelling with Lévy Copulas
Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Lévy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR.
متن کاملEffects of integrating physical and financial flows through a closed-loop supply chain network under uncertain demand and return
The impact of financial challenges on the profit of a supply chain, have caused the researcher to model the supply chain network by considering the operational and financial dimensions. Also, the establishment of a closed loop supply chain (CLSC) network has a high effect on economic profit. So, the purpose of this study is to design a stochastic closed loop supply chain network by considering ...
متن کاملOperational matrices with respect to Hermite polynomials and their applications in solving linear differential equations with variable coefficients
In this paper, a new and efficient approach is applied for numerical approximation of the linear differential equations with variable coeffcients based on operational matrices with respect to Hermite polynomials. Explicit formulae which express the Hermite expansion coeffcients for the moments of derivatives of any differentiable function in terms of the original expansion coefficients of the f...
متن کامل