Within the loss distribution approach framework, the required capital is the 99.9% value-at-risk of the annual loss distribution, which is based on the fit of the severity and frequency distributions using internal data. The severity estimation is the most difficult to undertake because of the...

Measuring correlations among aggregate operational risk losses has a very key impact on calculating regulatory operational risk capital requirement. In the literature, these correlations are often summarized by their average and exhibit a low level. In this paper, we go beyond correlations...

Grouped t-copulas were introduced by Embrechts et al. (1999) and Fang et al. (2002) to address the inability of Gaussian copulas to model non-linear dependencies and of t-copulas to model heterogeneous tail-dependencies. These heterogeneous tail-dependencies can be observed in many fields...

Studies tend to show the increasing awareness for climate change and the need to mitigate it. Last year, protests against taxes on fossil fuels suggested that people are not willing to bear the costs of such mitigation. However, people also protested globally, claiming their will to take action...