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Multivariate Operational Risk: Dependence Modelling with Lévy Copulas

By Klaus Böcker

Abstract

Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Lévy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR.

Year: 2010
OAI identifier: oai:CiteSeerX.psu:10.1.1.178.3483
Provided by: CiteSeerX
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