Table 6 Robustness test for VaR and ES using different simulations
From: Operational risk assessment of third-party payment platforms: a case study of China
| Â | Â | VaR99% | VaR99.9% | ES99% | ES99.9% |
|---|---|---|---|---|---|
Original Value | Â | 339.89 | 724.46 | 502.30 | 1081.98 |
Robustness test | Changing the simulation number | 338.52 (− 0.40%) | 706.91 (− 2.42%) | 503.98 (0.33%) | 1108.09 (2.41%) |
Selecting part of the quarterly loss data | 335.75 (− 1.22%) | 718.54 (− 0.82%) | 507.43 (1.02%) | 1095.76 (1.27%) | |
Using half-annual loss data | 351.87 (3.52%) | 691.51 (− 4.54%) | 494.53 (− 1.55%) | 994.25 (− 8.11%) |