OpVaR: Statistical Methods for Modelling Operational Risk

Functions for computing the value-at-risk in compound Poisson models. The implementation comprises functions for modeling loss frequencies and loss severities with plain, mixed (Frigessi et al. (2012) <doi:10.1023/A:1024072610684>) or spliced distributions using Maximum Likelihood estimation and Bayesian approaches (Ergashev et al. (2013) <doi:10.21314/JOP.2013.131>). In particular, the parametrization of tail distributions includes the fitting of Tukey-type distributions (Kuo and Headrick (2014) <doi:10.1155/2014/645823>). Furthermore, the package contains the modeling of bivariate dependencies between loss severities and frequencies, Monte Carlo simulation for total loss estimation as well as a closed-form approximation based on Degen (2010) <doi:10.21314/JOP.2010.084> to determine the value-at-risk.

install.packages("OpVaR")

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