Figure 1.
Figure 2.
Risk values estimated for different types of copulas and different sample sizes
| Type of cupola | Number of random groups N | Value of risk |
|---|---|---|
| Gaussa | 1000 | 5.70 |
| 100000 | 5.57 | |
| Claytona | 1000 | 5.91 |
| 100000 | 5.85 |
Simulated risk of misconduct
| Parameter | Gauss copula | Clayton copula |
|---|---|---|
| Number of simulations | 1000 | 1000 |
| Maximum | 7.30 | 8.27 |
| Minimum | 0.21 | 4. |
| Mean | 4.46 | 5.11 |
| 95% VofR | 5.70 | 5.91 |
Risk matrix calculated according to formula (9)
| Ei | Di | ||
|---|---|---|---|
| 1 | 2 | 3 | |
| 1 | 1 | 2 | 3 |
| 2 | 2 | 4 | 6 |
| 3 | 3 | 6 | 9 |