Infinite-mean models and the LDA for operational risk

Johanna Nešlehová, Paul Embrechts and Valérie Chavez-Demoulin

Journal of Operational Risk

Abstract: ABSTRACT Due to published statistical analyses of operational risk data, methodological approaches to the “advanced measurement approach” modeling of operational risk can be discussed in more detail. In this paper we raise some issues concerning correlation (or diversification) effects, the use of extreme value theory and the overall quantitative risk management consequences of extremely heavy-tailed data. We especially highlight issues around infinite-mean models. In addition to methodological examples and simulation studies, the paper contains indications for further research.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-operational-risk/2160 ... lda-operational-risk (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ3:2160860

Access Statistics for this article

More articles in Journal of Operational Risk from Journal of Operational Risk
Bibliographic data for series maintained by Thomas Paine ().