What about Underevaluating Operational Value at Risk in the Banking Sector?

@article{Dionne2007WhatAU,
  title={What about Underevaluating Operational Value at Risk in the Banking Sector?},
  author={G. Dionne and H. Dahen},
  journal={Banking & Financial Institutions},
  year={2007}
}
The objective of this article is to develop a precise and rigorous measurement of a bank's operational VaR. We compare our model to the standard model frequently used in practice. This standard model is constructed based on lognormal and Poisson distributions which do not take into account any data which fall below the truncature threshold and undervalue banks' exposure to risk. Our risk measurement also brings into account external operational losses that have been scaled to the studied bank… Expand
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