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

Table 3

Parameters estimation and goodness of fit test results of copulas in LDA-FD.

	Parameters	Goodness of fit test
Gaussian copula	𝜌34=0.499, 𝜌35=0.267, 𝜌45=0.649	𝑃=0.02
t copula	𝜌34=0.571, 𝜌35=0.287, 𝜌45=0.720, 𝜈=1	𝑃=0.21

Note: 𝜌₃₄ denotes the correlation between BL3 and BL4, 𝜌₃₅ denotes the correlation between BL3 and BL5, 𝜌₄₅ denotes the correlation between BL4 and BL5, and 𝜈 denotes the degree of freedom of t copula.