Multivariate models for operational risk.

Dokumenttyp:: Zeitschriftenaufsatz
Autor(en):: Böcker, K. and Klüppelberg, C.
Titel:: Multivariate models for operational risk.
Abstract:: In Böcker and Klüppelberg (2005) we presented a simple approximation of Op- VaR of a single operational risk cell. The present paper derives approximations of similar quality and simplicity for the multivariate problem. Our approach is based on modelling of the dependence structure of different cells via the new concept of a Lévy copula.
Stichworte:: dependence model, Lévy copula, multivariate dependence, multivariate Lévy processes, operational risk, Pareto distribution, regular variation, subexponential distribution
Zeitschriftentitel:: Quantitative Finance
Jahr:: 2010
Band / Volume:: 10
Heft / Issue:: 8
Seitenangaben Beitrag:: 855–869
Reviewed:: ja
Sprache:: en
WWW:: http://www.ermsymposium.org/2007/pdf/papers/boecker.pdf
Hinweise:: PRMIA "2007 New Frontiers in Risk Management Award"
Format:: Text
BibTeX

Vorkommen: