Abstract

MORA VALENCIA, Andrés. The use of g-h distribution in operational risk. Contad. Adm [online]. 2014, vol.59, n.1, pp.123-148. ISSN 0186-1042.

This paper presents a review of the g-h distribution in operational risk and proposes a modification to the method developed by Hoaglin (1985) to estimating the parameters. The modification consists in the estimation of the parameter h using a robust regression. We estimate OpVaR by g-h and POT methods in two applications. The results show that the g-h method is useful in operational risk, but care must be taken when the distribution of losses presents extremely heavy tails.

Keywords : g-h; POT; operational risk.

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