Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling
Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling
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离散观察的双变量复合泊松过程的 Levy 联结参数估计及其在操作风险建模中的应用
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发表时间：
2012
期刊：
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通讯作者：
J. L. V. Velsen
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文献类型：
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作者：
J. L. V. Velsen
本文提出了一种在不知道共同冲击的情况下估计离散观测的二元复合Poisson过程的Levy Copula参数的方法。该方法是在一个小样本的模拟研究进行测试。此外，该方法被应用到一个真实的数据集和拟合优度检验。通过本文的研究，Levy Copula函数成为操作风险高级度量方法的现实工具。
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.