Multivariate models for operational risk

Klaus Bocker and Claudia Kluppelberg

Quantitative Finance, 2010, vol. 10, issue 8, 855-869

Abstract: Bocker and Kluppelberg [Risk Mag., 2005, December, 90-93] presented a simple approximation of OpVaR of a single operational risk cell. The present paper derives approximations of similar quality and simplicity for the multivariate problem. Our approach is based on the modelling of the dependence structure of different cells via the new concept of a Levy copula.

Keywords: Dependence model; Levy copula; Multivariate dependence; Multivariate Levy process; Operational risk; Pareto distribution; Regular variation; Subexponential distribution (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/14697680903358222

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