Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling

J. L. van Velsen

Papers from arXiv.org

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.

Date: 2012-12
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1212.0092

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