We study the asymptotic behaviour of the difference between the Value at Risks VaR(L) and VaR(L+S) for heavy tailed random variables L and S as an application to the sensitivity analysis of quantitative operational risk management in the framework of an advanced measurement approach (AMA) of Basel II . Here the variable L describes the loss amount of the present risk profile and S means the loss amount caused by an additional loss factor.
<fluency> We study the asymptotic behaviour of the difference between the Value at Risks VaR(L) and VaR(L+S) for heavy tailed random variables L and S as an application to the sensitivity analysis of quantitative operational risk management in the framework of an advanced measurement approach (AMA) of Basel II . Here the variable L describes the loss amount of the present risk profile and S means the loss amount caused by an additional loss factor.
We study the asymptotic behaviour of the difference between the Value at Risks VaR(L) and VaR(L+S) for heavy tailed random variables L and S as an application to the sensitivity analysis of quantitative operational risk management within the framework of an advanced measurement approach (AMA) of Basel II . Here the variable L describes the loss amount of the present risk profile and S means the loss amount caused by an additional loss factor.