Multivariate models for operational risk
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.
Volume (Year): 10 (2010)
Issue (Month): 8 ()
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