Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

operational sign in to follow this
multivariate sign in to follow this
Levy sign in to follow this
copula sign in to follow this

VaR Uses sign in to follow this
--Operational Risk sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
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
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.
Bocker, Klaus Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile