{"paper":{"title":"Robust Estimation of Operational Risk","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.ST"],"primary_cat":"q-fin.RM","authors_text":"Nataliya Horbenko, Peter Ruckdeschel, Taehan Bae","submitted_at":"2010-12-01T17:07:15Z","abstract_excerpt":"According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9% quantile of the respective loss distribution, covering unexpected severe events. The 99.9% quantile can be considered a tail event. As supported by the Pickands-Balkema-de Haan Theorem, tail events exceeding some high threshold are usually modeled by a Generalized Pareto Distribution (GPD). Estimation of GPD tail quantiles is not a trivial task, in particular if one takes into account the heavy tails of this distribution, the possibility of singular outliers, and, moreover, the fact that data is "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1012.0249","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}