Estimación de los parámetros de dependencia de la distribución generalizada de Pareto multivariada: relevancia en la medición de riesgo operativo

Abstract

In this investigation is proved the expression of the angular density for the Generalized Pareto Multivariate Distribution, of the nested logistic type, for 3 variables and then scaled up to 5. Angular density is useful in implementing random variables simulation algorithms that follow this distribution, as well as for estimating its dependence parameters. Obtained expressions are used to estimate, by maximum likelihood, the dependence parameters for 5 variables with known parameters. The model fits well for AMA Operating Risk modeling. A method to define the hierarchical order that the variables must follow when the model is applied to empirical data, is presented.Distribución generalizada de Pareto multivariada, modelo logístico anidado, riesgo operativo, teoría de valores extremos