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Hi @David Harper CFA FRM CIPM ,

The loss distribution for operational risk is not normal, it has a very heavy right tail for high severity low probability losses.

In the topic review for operational risk, we see that when calculating a VaR for operational risk, we use a normal deviate for the 99.9% confidence level. Why are we using a normal deviate when the loss distribution is not normal?

Thanks in advance.

The loss distribution for operational risk is not normal, it has a very heavy right tail for high severity low probability losses.

In the topic review for operational risk, we see that when calculating a VaR for operational risk, we use a normal deviate for the 99.9% confidence level. Why are we using a normal deviate when the loss distribution is not normal?

Thanks in advance.

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