Modelling Dependence

Pavel V. Shevchenko ()
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Pavel V. Shevchenko: CSIRO, Mathematics, Informatics and Statistics

Chapter Chapter 7 in Modelling Operational Risk Using Bayesian Inference, 2011, pp 235-271 from Springer

Abstract: Abstract Aggregation of operational risks in order to estimate a bank’s capital is a challenging problem. This chapter considers how dependence between operational risks can be modelled. It presents different approaches and issues debated in the literature. It also discusses conceptual problems with the dominance of the heavy-tailed risks in the capital charge and possible failed diversification.

Keywords: Risk Profile; Operational Risk; Tail Dependence; Annual Loss; Copula Model (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-15923-7_7

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DOI: 10.1007/978-3-642-15923-7_7

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