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 proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the … construction of the distribution of aggregate losses, using internal and external loss data. It is illustrated on a 2x2 matrix of … number, frequency or severity of operational losses crucially depends on the calibration of the aggregate loss distributions …