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Document type:
Buchbeitrag 
Author(s):
Böcker, K. and Klüppelberg, C. 
Artist:
G.N. Gregoriou (ed.) 
Title:
First order approximations to operational risk - dependence and consequences 
Pages contribution:
219-245 
Abstract:
We investigate the problem of modelling and measuring multidimensional operational risk. Based on the very popular univariate loss distribution approach, we suggest an “invariance principle” which should be satisfied by any multidimensional operational risk model, and which is naturally fulfilled by our modelling technique based on the new concept of Pareto Lévy copulas. Our approach allows for a fully dynamic modelling of operational risk at any future point in time. We exploit the fa...    »
 
Book title:
Greg N. Gregoriou: Operational Risk Toward Basel III, Best Practices and Issues in Modeling, Management and Regulation. 
Publisher:
Wiley 
Publisher address:
New York. 
Year:
2011 
Year / month:
2011-11 
Reviewed:
ja 
Language:
en 
Semester:
SS 09 
Format:
Text