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 L´evy copulas for dependence modelling yields simple approximations of
high quality for multivariate operational VAR.
Kongress- / Buchtitel:
2007 ERM Symposium
Verlag / Institution:
Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries.