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Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations
Financial Stochastic processes Truncated Levy Flights High-Order Correlations NonGaussian Random Walk
2012/6/5
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. T...
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
operational risk truncated data Poisson-Lognormal compound distribution loss distribution approach
2010/11/1
Typically, operational risk losses are reported above some threshold. This paper studies the
impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for
operational ...