Abstract
Böcker and Klüppelberg [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 Lévy copula.
| Original language | English |
|---|---|
| Pages (from-to) | 855-869 |
| Number of pages | 15 |
| Journal | Quantitative Finance |
| Volume | 10 |
| Issue number | 8 |
| DOIs | |
| State | Published - 2010 |
Keywords
- Dependence model
- Lévy copula
- Multivariate Lévy process
- Multivariate dependence
- Operational risk
- Pareto distribution
- Regular variation
- Subexponential distribution