Modeling and measuring multivariate operational risk with Lévy copulas

Klaus Böcker and Claudia Klüppelberg

Journal of Operational Risk

Abstract: ABSTRACT Simultaneous modeling of operational risks occurring in different event type/business line cells poses a serious challenge for operational risk quantification. Here we invoke the new concept of Lévy copulas to model the dependence structure of operational loss events. We explain the consequences of this dependence concept for frequencies and severities of operational risk in detail. For important examples of the Lévy copula and heavy-tailed generalized Pareto distributed tail severities we derive firstorder approximations for multivariate operational value-at-risk.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-operational-risk/2 ... sk-with-levy-copulas (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ3:2160905

Access Statistics for this article

More articles in Journal of Operational Risk from Journal of Operational Risk
Bibliographic data for series maintained by Thomas Paine ().