Modeling Operational Risk: Estimation and Effects of Dependencies

Stefan Mittnik, Sandra Paterlini and Tina Yener
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Stefan Mittnik: Center for Quantitative Risk Analysis (CEQURA), Department of Statistics
Sandra Paterlini: Center for Quantitative Risk Analysis (CEQURA), Department of Statistics
Tina Yener: Center for Quantitative Risk Analysis (CEQURA), Department of Statistics

A chapter in Proceedings of COMPSTAT'2010, 2010, pp 541-548 from Springer

Abstract: Abstract Being still in its early stages, operational risk modeling has, so far, mainly been concentrated on the marginal distributions of frequencies and severities within the context of the Loss Distribution Approach (LDA). In this study, drawing on a fairly large real–world data set, we analyze the effects of competing strategies for dependence modeling. In particular, we estimate tail dependence both via copulas as well as nonparametrically, and analyze its effect on aggregate risk–capital estimates.

Keywords: operational risk; risk capital; value–at–risk; correlation; tail dependence (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2604-3_55

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DOI: 10.1007/978-3-7908-2604-3_55

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