Operational risk measurement has become an important research area for the financial industry in recent years. In order to accurately estimate the required capital reserves as well as to obtain a deeper understanding into this complex risk category, an appropriately specified dependence model for loss incidents attributed to different risk factors and business units is indispensable. Hence the current thesis is dedicated to exploring various proposals for dependence modelling in operational risk, and subsequently focusing on a straightforward to apply, yet exible enough approach based on compound Poisson processes and Lévy copulas. Similar to the rationale of ordinary copulas, the Lévy measure of a multivariate Lévy process is fully characterised by its marginal components and the associated Lévy copula. Besides an in-depth theoretical treatment of bivariate models, extensive simulation and real application examples are provided.     «

Operational risk measurement has become an important research area for the financial industry in recent years. In order to accurately estimate the required capital reserves as well as to obtain a deeper understanding into this complex risk category, an appropriately specified dependence model for loss incidents attributed to different risk factors and business units is indispensable. Hence the current thesis is dedicated to exploring various proposals for dependence modelling in operational ris...     »