ASYMPTOTIC RESULTS FOR OVER-DISPERSED OPERATIONAL RISK BY USING THE ASYMPTOTIC EXPANSION METHOD

被引：0

作者：

LU Zhaoyang ^{[1
]}

机构：

[1] School of Science,Engineering University of Chinese Armed Police Forces

来源：

Journal of Systems Science & Complexity | 2014年 / 27卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Asymptotic expansion; multivariate dependence; operational risk; over-dispersed; value at risk;

D O I：

暂无

中图分类号：

F832.33 [商业银行（专业银行）];

学科分类号：

020204 ; 1201 ;

摘要：

In this paper,the author considers a new Loss-distribution-approach model,in which the over-dispersed operational risks are modeled by the compound negative binomial process.In the single dimensional case,asymptotic expansion for the quantile of compound negative binomial process is explored for computing the capital charge of a bank for operational risk.Moreover,when the dependence structure between different risk cells is modeled by the Prank copula,this approach is extended to the multi-dimensional setting.A practical example is given to demonstrate the effectiveness of approximation results.

引用

页码：524 / 536

页数：13