Operational Risk Aggregation across Business Lines Based on Frequency Dependence and Loss Dependence

Table 5

Parameters estimation and goodness of fit test results of loss distribution.

	Yearly loss		KS test
	Distribution	Parameters	𝐷 value	𝑃 value
BL3	Lognormal	𝜇=9.78, 𝜎=2.30	0.21	0.32
BL4	Lognormal	𝜇=13.22, 𝜎=1.44	0.19	0.46
BL5	Lognormal	𝜇=11.32, 𝜎=1.31	0.17	0.59