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- Title:
Multivariate models for operational risk.
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Böcker, K. and Klüppelberg, C.
- 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.
- Keywords:
- dependence model, Lévy copula, multivariate dependence, multivariate Lévy processes, operational risk, Pareto distribution, regular variation, subexponential distribution
- Journal title:
- Quantitative Finance
- Year:
- 2010
- Journal volume:
- 10
- Journal issue:
- 8
- Pages contribution:
- 855–869
- Reviewed:
- ja
- Language:
- en
- WWW:
- http://www.ermsymposium.org/2007/pdf/papers/boecker.pdf
- Notes:
- PRMIA "2007 New Frontiers in Risk Management Award"
- Format:
- Text
BibTeX