%D 2018
%O This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions.
%T A central limit theorem formulation for empirical bootstrap value-at-risk
%A Peter Mitic
%A Nicholas Bloxham
%X 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
%N 1
%J Journal of Risk Model Validation
%L discovery10163530
%K Loss distribution, Model validation, Operational risk capital, Value-at-risk (VAR), Original research
%V 12
%P 49-83
%I Infopro Digital Services Limited