Table 5 Back-testing results for VaR and ES
From: Operational risk assessment of third-party payment platforms: a case study of China
Risk value | VaR99% | VaR99.9% | ES99% | ES99.9% |
|---|---|---|---|---|
Failure number | 12 | 0 | 1 | 0 |
LR | 18.63% | 5.13% | 1.24% | 5.13% |
From: Operational risk assessment of third-party payment platforms: a case study of China
Risk value | VaR99% | VaR99.9% | ES99% | ES99.9% |
|---|---|---|---|---|
Failure number | 12 | 0 | 1 | 0 |
LR | 18.63% | 5.13% | 1.24% | 5.13% |