Asymptotics for Operational Risk Quantified with Expected Shortfall

Biagini, Francesca and Ulmer, Sascha (2009): Asymptotics for Operational Risk Quantified with Expected Shortfall. In: ASTIN Bulletin, Vol. 39, No. 2: pp. 735-752

Abstract

In this paper we estimate operational risk by using the convex risk measure Expected Shortfall (ES) and provide an approximation as the confidence level converges to 100% in the univariate case. Then we extend this approach to the multivariate case, where we represent the dependence structure by using a Lévy copula as in Böcker and Klüppelberg (2006) and Böcker and Klüppelberg, C. (2008). We compare our results to the ones obtained in Böcker and Klüppelberg (2006) and (2008) for Operational VaR and discuss their practical relevance.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 0515-0361
• Language: English