Operational Risk Quantified with SRMs:a Refined Closed-form Approximation
The quantification of operational risk has becoming an important issue as a result of the new capital charges required by the New Basel Capital Accord (Basel Ⅱ) to cover the potential losses of operational risk.In this paper we present second-order approximation of operational risk quantified with spectral risk measures (OpSRMs) within the theory of second-order regular variation and second- order subexponentiality.Moreover,we carry out Monto carlo simulations for a range of empirically relevant frequency and severity distributions to illustrate our second- order results.The simulation results indicate that our second-order approximation is able to capture the sub-extremal behavior of OpSRMs better than the first-order approximation.
Operational risk Spectral risk measure Second-order regular variation Second-order subexponentiality Asymptotical smoothness
Bin Tong Chongfeng Wu
Antai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China
国内会议
上海
英文
796-821
2012-11-02（万方平台首次上网日期，不代表论文的发表时间）