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Multivariate models for operational risk


  • Klaus Bocker
  • Claudia Kluppelberg


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.

Suggested Citation

  • Klaus Bocker & Claudia Kluppelberg, 2010. "Multivariate models for operational risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 855-869.
  • Handle: RePEc:taf:quantf:v:10:y:2010:i:8:p:855-869 DOI: 10.1080/14697680903358222

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    References listed on IDEAS

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    Cited by:

    1. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
    2. 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.


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