A challenge in enterprise risk measurement for diversified financial institutions is developing a coherent approach to aggregating different risk types. This has been motivated by rapid financial innovation, developments in supervisory standards (Basel 2) and recent financial turmoil. The main...

We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the framework of the advanced measurement approach of Basel II...