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Estimación de los parámetros de dependencia de la distribución generalizada de Pareto multivariada: relevancia en la medición de riesgo operativo

Author

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  • José Juan Chávez Gudiño

    (Scotiabank)

Abstract

In this investigation, it is proved the expression of the angular density for the Generalized Pareto Multivariate Distribution, of the nested logistic type, for three variables and then scaled up to five. Angular density is useful in implementing random variables simulation algorithms that follow this distribution, as well as for estimating its dependence parameters. Obtained expressions are used to estimate, by maximum likelihood, the dependence parameters for five variables with known parameters. The model fits well for AMA Operating Risk modeling. A method for defining the hierarchical order that the variables must follow when the model is applied to empirical data, is presented

Suggested Citation

  • José Juan Chávez Gudiño, 2009. "Estimación de los parámetros de dependencia de la distribución generalizada de Pareto multivariada: relevancia en la medición de riesgo operativo," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(1), pages 37-62.
    • Handle: RePEc:ega:rafega:200904
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    More about this item

    Keywords

    Distribución generalizada de Pareto multivariada; modelo logístico anidado; riesgo operativo; teoría de valores extremos;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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