Estimación de los parámetros de dependencia de la distribución generalizada de Pareto multivariada: relevancia en la medición de riesgo operativo

José Juan Chávez Gudiño ()
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José Juan Chávez Gudiño: Scotiabank

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2009, vol. 3, issue 1, 37-62

Abstract: In this investigation, it is proved the expression of the angular density for the Generalized Pareto Multivariate Distribution, of the nested logistic type, for three variables and then scaled up to five. Angular density is useful in implementing random variables simulation algorithms that follow this distribution, as well as for estimating its dependence parameters. Obtained expressions are used to estimate, by maximum likelihood, the dependence parameters for five variables with known parameters. The model fits well for AMA Operating Risk modeling. A method for defining the hierarchical order that the variables must follow when the model is applied to empirical data, is presented

Keywords: Distribución generalizada de Pareto multivariada; modelo logístico anidado; riesgo operativo; teoría de valores extremos (search for similar items in EconPapers)
JEL-codes: C23 G32 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200904

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