LogTukey-Type Distributions as Models for Operational Losses

Matthias Fischer ()
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Matthias Fischer: FAU, Department of Statistics & Econometrics

A chapter in Statistical Dependence Modeling, 2026, pp 341-351 from Springer

Abstract: Abstract Capturing the distributional stylized facts of operational loss data is one of the key tasks in operational risk (OpRisk) measurement, in particular when using the so-called loss distributional approach (LDA) where both the number and the size of operational losses are assumed to be stochastic. In order to rebuild the skewness and tail heaviness of loss size distributions flexible parametric distribution families are needed. Against this background, we introduce a new, flexible distribution family termed as LogTukey-Type Distribution, derive some properties and illustrate its flexibility compared to other competitors.

Keywords: OpVaR; Tukey; Lognormal; Heavy tails; Skewness (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-14252-8_14

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DOI: 10.1007/978-3-032-14252-8_14

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