Multivariate models for operational risk

被引：31
|
作者：
Boecker, Klaus [3 ]
Klueppelberg, Claudia [1 ,2 ]
机构：
[1] Tech Univ Munich, Ctr Math Sci, D-85747 Garching, Germany
[2] Tech Univ Munich, Inst Adv Study, D-85747 Garching, Germany
[3] HypoVereinsbank AG, Risk Integrat, Reporting & Policies, UniCredit Grp,Munich Branch, D-81925 Munich, Germany
来源：
QUANTITATIVE FINANCE | 2010年 / 10卷 / 08期
关键词：
Dependence model; Levy copula; Multivariate dependence; Multivariate Levy process; Operational risk; Pareto distribution; Regular variation; Subexponential distribution;
D O I：
10.1080/14697680903358222
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页码：855 / 869
页数：15
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