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- Title:
Operational VAR: meaningful means
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Böcker, K., Sprittulla, J.
- Abstract:
- Making the assumption that the distribution of operational-loss severity has finite mean, Klaus Böcker and Jacob Sprittulla suggest a refined version of the analytical operational VAR theorem derived in Böcker and Klüppelberg (2005), which significantly reduces the approximation error to operational VAR.
- Journal title:
- RISK
- Year:
- 2006
- Pages contribution:
- 96-98
- Reviewed:
- ja
- Language:
- en
- WWW:
- http://www.risk.net/risk-magazine/technical-paper/1500331/operational-var-meaningful-means
- Status:
- Verlagsversion / published
- Semester:
- SS 08
- Format:
- Text
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