A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion
Abstract
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 distribution accurately. The objective of this paper is to propose a nonparametric operational risk modeling approach based on Cornish-Fisher expansion. In...
Paper Details
Title
A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion
Published Date
Jan 1, 2014
Volume
2014
Pages
1 - 8
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