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...then the internal data and the scaled external data is combined. Then we try to fit some statistical distribution to this combined data. However, at times it becomes very difficult to fit any distribution to this particular combined data as the data becomes Bimodal. The paper by G. Dionne and Hela Dahen " What about underevaluating Operational Value at Risk in the Banking sector?" suggests that we fit two distributions (1) to the internal data (called body part) with Upper cap or upper bound to the loss data and (2) to the external data with Lower bound (called Tail part). Thus, no...