Chapter 14. Fitting copula models

  1. Harry H. Panjer

Published Online: 6 MAR 2006

DOI: 10.1002/0470051310.ch14

Operational Risk: Modeling Analytics

Operational Risk: Modeling Analytics

How to Cite

Panjer, H. H. (2006) Fitting copula models, in Operational Risk: Modeling Analytics, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/0470051310.ch14

Publication History

  1. Published Online: 6 MAR 2006
  2. Published Print: 25 AUG 2006

ISBN Information

Print ISBN: 9780471760894

Online ISBN: 9780470051313

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Keywords:

  • pseudo-MLEs;
  • empirical edge estimator;
  • Kendell's tall;
  • semiparametric methods;
  • maximum likelihood estimation

Summary

This chapter contains sections titled:

  • Introduction

  • Maximum Likelihood Estimation

  • Semiparametric Estimation of the Copula

  • The Role of Thresholds

  • Goodness-of-Fit Testing

  • An Example