标题： 跳扩散参数估计及其在操作风险建模中的应用 显示英文标题

标题： Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling

摘要： 一种方法被开发出来，用于在不了解共同冲击的情况下估计离散观测的二元复合泊松过程的Levy copula参数。 该方法在一个小样本模拟研究中进行了测试。 此外，该方法被应用于一个真实数据集，并开发了一个拟合优度检验。 通过本研究的方法，Levy copula成为操作风险高级测量方法的一个现实工具。 显示英文摘要

摘要： 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.