regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key … ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …

This paper considers some univariate and multivariate operational risk models, in which the loss severities are … modelled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some …/III regulatory capital accords, which is the so-called Loss Distribution Approach. We also conduct some simulation studies to check …

risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated …

during the 1994-2004 period. The tail of the loss distribution (a Pareto distribution without expectation whose …

Building on a new theory of parametric risk models initiated in Hürlimann(1998), it is shown how mean scaled individual …

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 analytically determined in advance. Usually, the frequency and the severity … distributions should be adequately combined and elaborated with Monte Carlo methods, in order to estimate the loss distributions and …