Multivariate models for operational risk
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- Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
- Grothe, Oliver & Hofert, Marius, 2015. "Construction and sampling of Archimedean and nested Archimedean Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 182-198.
More about this item
KeywordsDependence model; Levy copula; Multivariate dependence; Multivariate Levy process; Operational risk; Pareto distribution; Regular variation; Subexponential distribution;
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