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Multivariate Operational Risk: Dependence Modelling with Levy Copulas
Year Of Publication: 2007
Month Of Publication: June
Pages: 8
Download Count: 284
View Count:
Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 12-12-2007
Publisher: Administrator
Summary
Simultaneous modelling of operational risks occurring in different event type/businessline cells poses the challenge for operational risk quantification. Invoking the newconcept of Levy copulas for dependence modelling yields simple approximations ofhigh quality for multivariate operational VAR.
This document is published as, Modeling and measuring multivariate
operational risk with Lévy copulas, in Journal of Operational Risk (volume 3 number 2) Summer 2008, 3-27.
http://www.risk.net/digital_assets/4722/jop_v3n2a1.pdf
Author(s)
Bocker, Klaus Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
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