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Asymptotics for Operational Risk Quantified with Expected Shortfall

Published online by Cambridge University Press:  09 August 2013

Francesca Biagini  and
Sascha Ulmer
Francesca Biagini
Affiliation:
Department of Mathematics, LMU, Theresienstr. 39, D-80333 Munich, Germany, Fax: +49 89 2180 4452, E-Mail: [email protected]
Sascha Ulmer
Affiliation:
E-Mail: [email protected].
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Abstract

In this paper we estimate operational risk by using the convex risk measure Expected Shortfall (ES) and provide an approximation as the confidence level converges to 100% in the univariate case. Then we extend this approach to the multivariate case, where we represent the dependence structure by using a Lévy copula as in Böcker and Klüppelberg (2006) and Böcker and Klüppelberg, C. (2008). We compare our results to the ones obtained in Böcker and Klüppelberg (2006) and (2008) for Operational VaR and discuss their practical relevance.

Keywords

Operational riskExpected ShortfallLévy copularegular variation
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 39 , Issue 2 , November 2009 , pp. 735 - 752
Copyright
Copyright © International Actuarial Association 2009

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