Being still in its early stages, operational risk modeling has, so far,mainly been concentrated on the marginal distributions of frequencies and sever-ities within the context of the Loss Distribution Approach (LDA). In this study,drawing on a fairly large real-world data set, we analyze the effects of competingstrategies for dependence modeling. In particular, we estimate tail dependence bothvia copulas as well as nonparametrically, and analyze its eect on aggregate risk-capital estimates.
Modeling Operational Risk: Estimation and Effects of Dependencies / Yener, T.; Mittnik, S.; Paterlini, S.. - (2010), pp. 541-548. (Intervento presentato al convegno COMPSTAT 2010 tenutosi a Paris nel August 22-27).
Modeling Operational Risk: Estimation and Effects of Dependencies
S. PATERLINI
2010-01-01
Abstract
Being still in its early stages, operational risk modeling has, so far,mainly been concentrated on the marginal distributions of frequencies and sever-ities within the context of the Loss Distribution Approach (LDA). In this study,drawing on a fairly large real-world data set, we analyze the effects of competingstrategies for dependence modeling. In particular, we estimate tail dependence bothvia copulas as well as nonparametrically, and analyze its eect on aggregate risk-capital estimates.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione
