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Bocker, Klaus’ AUTHOR PAGE
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E-Mail: Klaus.Boecker@hvb.de
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Affiliation: Hypovereinsbank
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Multivariate Operational Risk: Dependence Modelling with Levy Copulas 2007
Bocker, Klaus
Kluppelberg, Claudia
 
Simultaneous modelling of operational risks occurring in different event type/businessline cells poses the challenge for operational risk quantificati...
Interactions of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation 2007
Bocker, Klaus
Hillebrand, Martin
 
In this paper we investigate the interaction between a credit portfolio and an-other risk type, which can be thought of as market risk. Combining Mert...
Operational VaR: Meaningful Means 2006
Bocker, Klaus
Sprittulla, Jacob
 
Making the assumption that the distribution of operational-loss severity has finite mean,Klaus B?cker and Jacob Sprittulla suggest a refined version o...
Multivariate Models for Operational Risk 2006
Bocker, Klaus
Kluppelberg, Claudia
 
In Boecker and Kluppelberg (2005) we presented a simple approximation of Op-Var of a single operational risk cell. The present paper derives approxima...
Operational Risk: Analytical Results When High Severity Losses Follow a Generalized Pareto Distribut 2006
Bocker, Klaus
 
This is a brief supplement to B?ocker and Kl?uppelberg [5] where a closed-formapproximation for operational VaR (OpVaR) has been derived. Here, we app...
Operational VaR: A Closed-Form Approximation 2005
Bocker, Klaus
Kluppelberg, Claudia
 
We investigate a simple loss distribution model for operational risk. We show that, when loss data are heavy-tailed (which in practice they are), a s...
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