Multivariate models for operational risk

DOI10.1080/14697680903358222MaRDI QIDQ3063851zbMATH OpenOpenAlexFDO

Authors Klaus Böcker, Claudia Klüppelberg

Publication date 15 December 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903358222

zbMATH Keywords

dependence modelLévy copulamultivariate dependencemultivariate Lévy processoperational riskPareto distributionregular variationsubexponential distribution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Ruin estimation in multivariate models with Clayton dependence structure
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks

Cited in

(29)

• The first passage event for sums of dependent Lévy processes with applications to insurance risk
• A limit distribution of credit portfolio losses with low default probabilities
• Measuring operational risk using a mean scaled individual risk model
• Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
• Construction and sampling of Archimedean and nested Archimedean Lévy copulas
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• Pareto Lévy measures and multivariate regular variation
• Lévy copulas: review of recent results
• Quantitative Operational Risk Models
• scientific article; zbMATH DE number 6006824 (Why is no real title available?)
• Modeling operational risk: estimation and effects of dependencies
• Backward simulation of multivariate mixed Poisson processes
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Nonparametric estimation of operational value-at-risk (OpVaR)
• Bounds for randomly shared risk of heavy-tailed loss factors
• Bayesian copulae distributions, with application to operational risk management
• A multivariate piecing-together approach with an application to operational loss data
• Expected shortfall estimation for apparently infinite-mean models of operational risk
• USING WEIGHTED DISTRIBUTIONS TO MODEL OPERATIONAL RISK
• Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
• Operational risk management: a stochastic control framework with preventive and corrective controls
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• Theoretical sensitivity analysis for quantitative operational risk management
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Asymptotic analysis of the loss given default in the presence of multivariate regular variation
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Asymptotics for value at risk and conditional tail expectation of a portfolio loss
• A revisit to tail risk measures in the presence of bivariate regularly varying tailed insurance and financial risks

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