The loss severity distribution for operational risk loss events is generally modeled by which of the following distributions:

The loss severity distribution for operational risk loss events is generally modeled by which of the following distributions:

I. the lognormal distribution

II. The gamma density function

III. Generalized hyperbolic distributions

IV. Lognormal mixtures
A . II and III
B . I, II and III
C . I, II, III and IV
D . I and III

View Answer

Answer: C

Explanation:

All of the distributions referred to in the question can be used to model the loss severity distribution for op risk. Therefore Choice ‘c’ is the correct answer.