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.
Preview |
Text
A_central_limit_theorem_formulation.pdf Download (591kB) | Preview |
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
| Type: | Article |
|---|---|
| Title: | A central limit theorem formulation for empirical bootstrap value-at-risk |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.21314/JRMV.2018.182 |
| Publisher version: | https://doi.org/10.21314/JRMV.2018.182 |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Loss distribution, Model validation, Operational risk capital, Value-at-risk (VAR), Original research |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10163530 |
Loading...
Loading...Loading...Loading...Archive Staff Only
 |
View Item |
