Multivariate operational risk: dependence modelling with Lévy copulas
Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Lévy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR.
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2007 ERM Symposium
Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries.