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 / S., Mittnik; Paterlini, Sandra; T., Yener. - STAMPA. - (2010), pp. 541-548. (Intervento presentato al convegno COMPSTAT 2010 tenutosi a Paris nel August 22-27) [10.1007/978-3-7908-2604-3_55].

Modeling Operational Risk: Estimation and Effects of Dependencies

PATERLINI, Sandra;
2010

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.
2010
COMPSTAT 2010
Paris
August 22-27
541
548
S., Mittnik; Paterlini, Sandra; T., Yener
Modeling Operational Risk: Estimation and Effects of Dependencies / S., Mittnik; Paterlini, Sandra; T., Yener. - STAMPA. - (2010), pp. 541-548. (Intervento presentato al convegno COMPSTAT 2010 tenutosi a Paris nel August 22-27) [10.1007/978-3-7908-2604-3_55].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/697675
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