Journal of Operational Risk
ISSN:
1744-6740 (print)
1755-2710 (online)
Editor-in-chief: Marcelo Cruz
Operational risk capital: asymptotics in the case of heavy-tailed severity
Anupam Sahay, Zailong Wan, Brian Keller
Abstract
ABSTRACT
We present a second-order asymptotic approximation of operational value-at-risk capital, in the case of heavy-tailed severity distribution. This approximation, along with the well-known first-order result, is compared with simulation for a range of empirically relevant frequency and severity characteristics.
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