Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling
Risk Management
2012-12-04 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1212.0092,
title = {Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling},
author = {J. L. van Velsen},
journal= {arXiv preprint arXiv:1212.0092},
year = {2012}
}
Comments
25 pages including 1 figure