A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion
It is generally accepted that the choice of severity distribution in loss distribution approach has a significant effect on the operational risk capital estimation. However, the usually used parametric approaches with predefined distribution assumption might be not able to fit the severity distribut...
| Main Authors: | , , , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2014/839731 |