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Document type:
Zeitschriftenaufsatz 
Author(s):
Böcker, K., Klüppelberg, C. 
Title:
Modelling and measuring multivariate operational risk with Lévy copulas 
Abstract:
Simultaneous modelling of operational risks occurring in different event type/business line cells poses a serious challenge for operational risk quantification. Here we invoke the new concept of Lévy copulas to model the dependence structure of operational loss events. We explain the consequences of this dependence concept for frequencies and severities of operational risk in detail. For important examples of the Lévy copula and heavy-tailed GPD tail severities we derive first order approximat...    »
 
Journal title:
J. Operational Risk 
Year:
2008 
Journal volume:
Journal issue:
Pages contribution:
3-27 
Reviewed:
ja 
Language:
en 
Semester:
SS 08 
Format:
Text