Bayesian Extreme Value Theory with Hawkes-AR-Gumbel Dependence for Extreme CVaR Estimation in Operational Risk

Juan Ballesteros Gómez, Eduardo C. Garrido-Merchán, Pedro Pablo Pérez-Velasco

Operational risk capital estimation under Basel II/III requires quantifying aggregate losses at extreme confidence levels of 99.9% and beyond, yet the standard Loss Distribution Ap…