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El uso de la distribución g-h en riesgo operativo

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  • Mora Valencia Andrés

    (Colegio de Estudios Superiores de Administración)

Abstract

This paper presents a review of the g-h distribution in operational risk and proposes a modification to the method developed by Hoaglin (1985) to estimating the parameters. The modification consists in the estimation of the parameter h using a robust regression. We estimate OpVaR by g-h and POT methods in two applications. The results show that the g-h method is useful in operational risk, but care must be taken when the distribution of losses presents extremely heavy tails.

Suggested Citation

  • Mora Valencia Andrés, 2014. "El uso de la distribución g-h en riesgo operativo," Contaduría y Administración, Accounting and Management, vol. 59(1), pages 123-148, enero-mar.
    • Handle: RePEc:nax:conyad:v:59:y:2014:i:1:p:123-148
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    References listed on IDEAS

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    Keywords

    g-h; POT; riesgo operativo;
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