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

Table 3

Estimated parameters for Cornish-Fisher expansion.

	𝜇1	𝜇2	𝜇3	𝜇4	𝜇5
Moments	0	1	0.15	2.18	0.69
	𝜅1	𝜅2	𝜅3	𝜅4	𝜅5
Cumulants	0	1	0.15	−0.82	−0.83

𝜇₁ to 𝜇₅ denote the first moment to the fifth moment. 𝜅₁ to 𝜅₅ denote the first cumulant to the fifth cumulant.