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Operational risk capital: asymptotics in the case of heavy-tailed severity

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  • 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.

Suggested Citation

  • Anupam Sahay & Zailong Wan & Brian Keller, . "Operational risk capital: asymptotics in the case of heavy-tailed severity," Journal of Operational Risk, Journal of Operational Risk.
    • Handle: RePEc:rsk:journ3:2160862
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