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The application of generalized pareto distribution and copula functions in the issue of operational risk

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Basiaga K., Szkutnik T.
Econometrics. Ekonometria. Advances in Applied Data Analytics
|
2013
|
issue 1(39)
133-143
EN
The article concerns the issue of modelling of operational risk in a bank. The area of analysis is related to two separate analytical areas composed of certain combinations of the Basel Matrix risk categories. The focus of interest is in the modelling of loss severity distributions in LDA models and in consideration of the power and character of dependences among the studied analytical areas. To model a single loss severity distribution, the authors used the approach based on extreme values theory EVT. GPD distribution was used to model the right tail. The t-Student copula function was used in the cases of consideration of power and character of dependences. The determined values describe the effects of the applied approach in relative scale.
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