Medidas de riesgo para riesgo operacional con un modelo de perdida agregada de Poisson-Lindley

Agustín Hernández Bastida; Pilar Fernández Sánchez

doi:10.18002/pec.v0i11.627

Auteurs-es

Agustín Hernández Bastida Universidad de Granada. Facultad de Ciencias Económicas y Empresariales
Pilar Fernández Sánchez Universidad de Granada. Facultad de Ciencias Económicas y Empresariales

DOI :

https://doi.org/10.18002/pec.v0i11.627

Mots-clés :

Modelo de pérdida agregada, Distribución de Poisson-Lindley, Distribución triangular, Distribución gamma, Aggregate Loss Model, Poisson-Lindley distribution, Triangular distribution, Gamma distribution

Résumé

En este trabajo se considera la determinación de medidas de riesgo en riesgo operacional, es decir, la determinación de cuantiles de alto orden. Se considera la aproximación basada en la distribución de la pérdida dentro de la aproximación avanzada. Se calculan, y se comparan entre si, las medidas de riesgo a partir de la distribución de la pérdida agregada y a partir de la distribución predictiva considerando como funciones estructura para los perfiles de riesgo las distribuciones Triangular y Gamma.

This paper considers the determination of the risk measures in Operational Risk, i.e. the determination of a high level quantile. The Loss Distribution Approach in the Advanced Measurement Approach is adopted. The risk measures, obtained from the aggregate loss distribution and from the predictive distribution are determined and compared, using the Triangular and Gamma distributions as structure functions of the risk profiles.

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