Multivariate models for operational risk

Klaus Böcker; Claudia Klüppelberg

doi:10.1080/14697680903358222

Multivariate models for operational risk

Klaus Böcker
, Claudia Klüppelberg

Chair of Mathematical Statistics

Munich Branch c/o HypoVereinsbank AG

Research output: Contribution to journal › Article › peer-review

51 Scopus citations

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	https://doi.org/10.1080/14697680903358222
State	Published - 2010

Keywords

Dependence model
Lévy copula
Multivariate Lévy process
Multivariate dependence
Operational risk
Pareto distribution
Regular variation
Subexponential distribution

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10.1080/14697680903358222

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abstract = "B{\"o}cker and Kl{\"u}ppelberg [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 L{\'e}vy copula.",

keywords = "Dependence model, L{\'e}vy copula, Multivariate L{\'e}vy process, Multivariate dependence, Operational risk, Pareto distribution, Regular variation, Subexponential distribution",

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AB - 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.

KW - Dependence model

KW - Lévy copula

KW - Multivariate Lévy process

KW - Multivariate dependence

KW - Operational risk

KW - Pareto distribution

KW - Regular variation

KW - Subexponential distribution

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DO - 10.1080/14697680903358222

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SN - 1469-7688

VL - 10

SP - 855

EP - 869

JO - Quantitative Finance

JF - Quantitative Finance

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ER -

Multivariate models for operational risk

Abstract

Keywords

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