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Multivariate Models for Operational Risk
Year Of Publication: 2006
Month Of Publication: May
Pages: 27
Download Count: 797
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 5-18-2006
Publisher: Administrator
Summary
In Boecker and Kluppelberg (2005) we presented a simple approximation of Op-Var of a single operational risk cell. The present paper derives approximations ofsimilar quality and simplicity for the multivariate problem. Our approach is based on modelling of the dependence structure of different cells via the new concept of a Levy copula.
This document was published in Quantitative Finance (2010) volume 10, number 8, pp. 855 - 869.
http://dx.doi.org/10.1080/14697680903358222
Author(s)
Bocker, Klaus Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
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