2012/12/01 by J. L. van Velsen, van Velsen, J. L.
Economics, Econometrics and Finance · #FOS: Economics and business #Risk Management (q-fin.RM) #q-fin.RM
paper · pdf · doi:10.48550/arxiv.1212.0092
25 pages including 1 figure
arxiv created 2012/12/01 · arxiv updated 2012/12/04
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.