eprintid: 10163530
rev_number: 12
eprint_status: archive
userid: 699
dir: disk0/10/16/35/30
datestamp: 2023-04-25 16:54:23
lastmod: 2023-04-25 16:54:23
status_changed: 2023-04-25 16:54:23
type: article
metadata_visibility: show
sword_depositor: 699
creators_name: Mitic, Peter
creators_name: Bloxham, Nicholas
title: A central limit theorem formulation for empirical bootstrap value-at-risk
ispublished: pub
divisions: UCL
divisions: B04
divisions: C05
divisions: F48
keywords: Loss distribution, Model validation, Operational risk capital, Value-at-risk (VAR), Original research
note: This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions.
abstract: 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
date: 2018-03
date_type: published
publisher: Infopro Digital Services Limited
official_url: https://doi.org/10.21314/JRMV.2018.182
oa_status: green
full_text_type: pub
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 2000790
doi: 10.21314/JRMV.2018.182
lyricists_name: Mitic, Peter
lyricists_id: PMITI76
actors_name: Mitic, Peter
actors_id: PMITI76
actors_role: owner
full_text_status: public
publication: Journal of Risk Model Validation
volume: 12
number: 1
pagerange: 49-83
issn: 1753-9579
citation:        Mitic, Peter;    Bloxham, Nicholas;      (2018)    A central limit theorem formulation for empirical bootstrap value-at-risk.                   Journal of Risk Model Validation , 12  (1)   pp. 49-83.    10.21314/JRMV.2018.182 <https://doi.org/10.21314/JRMV.2018.182>.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10163530/3/A_central_limit_theorem_formulation.pdf