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the second procedure exploits the copula representation. For each specification a distance test and an intersection …
Persistent link: https://www.econbiz.de/10005771788
. The parametric and semiparametric setting are based on the copula representation for multivariate distribution, which …
Persistent link: https://www.econbiz.de/10005771834
This paper proposes improvements to advanced measurement approach (AMA) to estimating operational risks, and applies the improved methods to US business losses categorised into five business lines and three event types operational losses. The AMA involves, among others, modelling a loss severity...
Persistent link: https://www.econbiz.de/10010717649