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Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling by van Velsen, J. L. is a scholarly article available to read on EtoBox.

What is Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling about?

A method is developed to estimate the parameters of a Levy copula of a discretely observed bivariate compound Poisson process without knowledge of common shocks. The method is tested in a small sample simulation study. Also, the method is applied to a real data set and a goodness of fit test is developed. With the methodology of this work, the Levy copula becomes a realistic tool of the advanced measurement approach of operational risk.

Author

van Velsen, J. L.

Published

2012

Language

EN