We present a general methodology based on skew t copulas and Bayesian inference for modelling extreme multivariate dependent losses and the regulatory capital for operational risk. Current approaches fail to model both asymmetric dependence and accurate extreme upper tail dependence (e.g. 99.9%...

In this paper, we propose an inflated mixture model to deal with multimodality in loss given default data. We propose a mixed of degenerate distributions, to handle zeros and ones excess, with a mixture of to-be-chosen bounded distributions for non-zeros and non-ones proportions. By applying the...