This thesis is devoted to the modelling and measurement of multivariate operational risk, multivariate business risk, and the aggregation of different risk types. A bank's total operational risk is modelled by a multivariate compound Poisson process for which the dependence structure is described by the new concept of a Lévy copula. In doing so, we obtain closed-form approximations for the operational Value-at-Risk. The quantification of business risk is based on discounted future cash flows, which are modelled by different Gauss processes. This gives insight into the so-called Capital-at-Risk of a financial institution. Finally, we compare different risk-aggregation techniques and present a new approach how expert knowledge can be included when calculating the correlation between different risk types.
«This thesis is devoted to the modelling and measurement of multivariate operational risk, multivariate business risk, and the aggregation of different risk types. A bank's total operational risk is modelled by a multivariate compound Poisson process for which the dependence structure is described by the new concept of a Lévy copula. In doing so, we obtain closed-form approximations for the operational Value-at-Risk. The quantification of business risk is based on discounted future cash flows, wh...
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