A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion

A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion

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 distribut...

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Main Authors: Xiaoqian Zhu, Jianping Li, Jianming Chen, Yingqi YangHuo, Lijun Gao, Jichuang Feng, Dengsheng Wu, Yongjia Xie
Format: Article
Language:English
Published: Wiley 2014-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2014/839731
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