Before revision:  We study MLE in operational risk models for small sample-sizes across a range of loss severity distributions. We apply these results to assess (1) the approximation of parameter confidence intervals by asymptotic normality, and (2) value-at-risk (VaR) stability as a function of sample-size.
After revision:  We study MLE in operational risk models . We then apply these results to assess (1) the approximation of parameter confidence intervals by asymptotic normality, and (2) value-at-risk (VaR) stability as a function of sample-size.