Greselin, Francesca; Piacenza, Fabio; Zitikis, Ričardas - In: Risks 7 (2019) 2, pp. 1-20
We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be...