Multivariate models for operational risk

Bocker and Kluppelberg [Risk Mag., 2005, December, 90-93] presented a simple approximation of OpVaR 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 the modelling of the dependence structure of different cells via the new concept of a Levy copula.

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Year of publication:	2010
Authors:	Bocker, Klaus ; Kluppelberg, Claudia
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 8, p. 855-869
Publisher:	Taylor & Francis Journals
Subject:	Dependence model \| Levy copula \| Multivariate dependence \| Multivariate Levy process \| Operational risk \| Pareto distribution \| Regular variation \| Subexponential distribution

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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