42 citations · 163 across the 14 of their papers we have counts for
Showing 2009Show all
2 papers · 1 filter
q-fin.RM2009
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
Xiaolin Luo, Pavel V. Shevchenko, John B. Donnelly
Typically, operational risk losses are reported above some threshold. This paper studies the impact of ignoring data truncation on the 0.999 quantile of the annual loss distributio…
q-fin.CP2009★ 6 cited
Computing Tails of Compound Distributions Using Direct Numerical Integration
Xiaolin Luo, Pavel V. Shevchenko
An efficient adaptive direct numerical integration (DNI) algorithm is developed for computing high quantiles and conditional Value at Risk (CVaR) of compound distributions using ch…