A Nonparametric Operational Risk Modeling Approach Based on Cornish-Fisher Expansion

Table 2

Estimated parameters and goodness-of-fit test results of frequency distribution.

Distribution	Parameters	KS test
		𝐷 value	𝑃 value
Poisson	𝜆=112.21	0.45	0.00
Negative binomial	𝑟=2.75, 𝑝=0.98	0.20	0.43
Geometric	𝑑=0.01	0.28	0.10

For negative binomial distribution, 𝑟 denotes the specified number of failures and 𝑝 denotes the probability of success in each trial. Besides, 𝜆 and 𝑑, respectively, denote the single parameters of Poisson and geometric distribution.