Identifying the Maximum Domain of Attraction (MDA) of a given (severity) distribution in Operational Risk is not an easy task with a significant impact on the Value at Risk (VaR). One could resort to the result of Pickands (1975) and select a suitably high threshold to model the excesses so that...

A growing number of studies in finance decompose multi-period buy-and-hold portfolioreturns into a series of single period returns. The method used to decomposethese returns is important because researchers use them in tests of asset pricing modelsand market efficiency and in evaluating the...