Effect of a data collection threshold in the loss distribution approach

Giulio Mignola and Roberto Ugoccioni

Journal of Operational Risk

Abstract: ABSTRACT This paper shows that, in the context of the loss distribution approach to operational risk measurement, neglecting events below the loss data collection threshold does not lead to large errors in the aggregated expected loss, quantiles, and unexpected loss, for threshold values up to fairly large percentiles of the severity distribution.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ3:2160911

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