Statistical Methods for Modeling Operational Risk
Functions for computing the Value-at-Risk in compound Poisson models.
The implementation comprises functions for modeling loss frequencies and loss severities with plain, mixed (Frigessi et al. (2012) <10.1023>) or spliced distributions using Maximum Likelihood estimation and Bayesian approaches (Ergashev et al. (2013) <10.21314>).
In particular, the parametrization of tail distributions includes the fitting of Tukey-type distributions (Kuo and Headrick (2014) <10.1155>). Furthermore, the package contains the modeling of bivariate dependencies between loss severities and frequencies, Monte Carlo simulation for total loss estimation as well as a closed-form approximation based on Degen (2010) <10.21314> to determine the value-at-risk.10.21314>10.1155>10.21314>10.1023>