Measuring the over-dispersed data in operational risk with the negative binomial process
In this paper, the negative binomial process is used to account for the over-dispersion in operational risk data. We estimate operational risk by means of the non-convex and convex risk measure, such as Value at Risk and Expected Shortfall, and provide a simple approximation to operational risk in a single risk cell. Moreover this approach is extended to the niultivariate case, where the dependence structure between different risk cells is modeled by the Frank copula. In the final, we discuss almost all the limit cases when the dependence parameter differs. A practical example is presented to demonstrate the efficiency of approximation results.
Operational risk Value at Risk Over-dispersed Negative binomial process Frank copula
Zhaoyang Lu
Department of Basic Science Engineering University of Chinese Armed Police Forces Xian, Shaanxi province 710086
国际会议
杭州
英文
463-467
2012-03-23（万方平台首次上网日期，不代表论文的发表时间）