Discrete Dynamics in Nature and Society / 2014 / Article / Tab 4

Research Article

A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion

Table 4

VaR of operational risk by using Cornish-Fisher expansion

OrdersCornish-Fisher expansionVaR (99.9%)

1 order
( , )
3380
2 order
( , , )
13290
3 order
( , , , )
84
4 order
( , , , )
82
5 order
( , , , , )
67
6 order
( , , , , )

  
82
7 order
( , , , , )

  
82

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