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Theoretical Sensitivity Analysis for Quantitative Operational Risk Management

Takashi Kato

出版	SSRN, 2017
URL	http://books.google.com.hk/books?id=iAABzwEACAAJ&hl=&source=gbs_api

註釋

We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the framework of the advanced measurement approach of Basel II (and III). Here L describes the loss amount of the present risk profile and S describes the loss amount caused by an additional loss factor. We obtain different types of results according to the relative magnitudes of the thicknesses of the tails of L and S. In particular, if the tail of S is sufficiently thinner than the tail of L, then the difference between prior and posterior risk amounts VaR(L S) - VaR(L) is asymptotically equivalent to the expectation (expected loss) of S.