Brechmann, Eike; Czado, Claudia; Paterlini, Sandra - In: Journal of Banking & Finance 40 (2014) C, pp. 271-285
Operational risk data, when available, are usually scarce, heavy-tailed and possibly dependent. In this work, we introduce a model that captures such real-world characteristics and explicitly deals with heterogeneous pairwise and tail dependence of losses. By considering flexible families of...