El uso de la distribución g-h en riesgo operativo

Mora Valencia Andrés ()
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Mora Valencia Andrés: Colegio de Estudios Superiores de Administración
Authors registered in the RePEc Author Service: Andrés Mora Valencia

Contaduría y Administración, 2014, vol. 59, issue 1, 123-148

Abstract: This paper presents a review of the g-h distribution in operational risk and proposes a modification to the method developed by Hoaglin (1985) to estimating the parameters. The modification consists in the estimation of the parameter h using a robust regression. We estimate OpVaR by g-h and POT methods in two applications. The results show that the g-h method is useful in operational risk, but care must be taken when the distribution of losses presents extremely heavy tails.

Keywords: g-h; POT; riesgo operativo (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:59:y:2014:i:1:p:123-148

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