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Hi David,

This is related to Operational VAR topic.i was not able to get clear picture of what the author was trying to say in closed form solution AIM.here are my doubts:

1How from the equation for analytical model it is implied that The operational VaR (OpVar) at high confidence levels only depends on the tail and not on the body of the severity distribution.

2.Because the frequency enters only as an expectation,

Anil

This is related to Operational VAR topic.i was not able to get clear picture of what the author was trying to say in closed form solution AIM.here are my doubts:

1How from the equation for analytical model it is implied that The operational VaR (OpVar) at high confidence levels only depends on the tail and not on the body of the severity distribution.

2.Because the frequency enters only as an expectation,

**it is also not necessary to calibrate**

a specific counting process; estimation of the sample mean is sufficient. what does that mean is we need the mean of any frequency distribution like possion for calculation of VAR?a specific counting process

Anil

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