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

Table 6

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

	Parameters	Goodness of fit test (𝑃 value)
Gaussian copula	𝜌34=0.616, 𝜌35=0.389, 𝜌45=0.249	𝑃=0.31
t copula	𝜌34=0.621, 𝜌35=0.484, 𝜌45=0.299, 𝜈=1	𝑃=0.93