TY  - JOUR
IS  - 1
N1  - This version is the version of record. For information on re-use, please refer to the publisher?s terms and conditions.
SP  - 49
VL  - 12
JF  - Journal of Risk Model Validation
A1  - Mitic, Peter
A1  - Bloxham, Nicholas
UR  - https://doi.org/10.21314/JRMV.2018.182
SN  - 1753-9579
TI  - A central limit theorem formulation for empirical bootstrap value-at-risk
AV  - public
Y1  - 2018/03//
EP  - 83
KW  - Loss distribution
KW  -  Model validation
KW  -  Operational risk capital
KW  -  Value-at-risk (VAR)
KW  -  Original research
N2  - ABSTRACT In this paper, the importance of the empirical bootstrap (EB) in assessing minimal operational risk capital is discussed, and an alternative way of estimating minimal operational risk capital using a central limit theorem (CLT) formulation is presented. The results compare favorably with risk capital obtained by fitting appropriate distributions to the same data. The CLT formulation is significant in validation because it provides an alternative approach to the calculation that is independent of both the empirical severity distribution and any dependent fitted distribution
ID  - discovery10163530
PB  - Infopro Digital Services Limited
ER  -