Semi-nonparametric Estimation of Operational Risk Capital with Extreme
Loss Events
Semi-nonparametric Estimation of Operational Risk Capital with Extreme
Loss Events
Operational risk modeling using the parametric models can lead to a counter-intuitive estimate of value at risk at 99.9% as economic capital due to extreme events. To address this issue, a flexible semi-nonparametric (SNP) model is introduced using the change of variables technique to enrich the family of distributions that …